I'll take a wild guess:
I would expect attenuation to occur if the molecules of the medium don't fully return to their original position after a compression (you're probably aware that sound waves travel by alternating longitudinal compressions and decompressions). In something like a gas, the compressions would involve large displacements, so maybe a greater chance for the molecules to not fully return to their original position in comparison to something like a solid.
You'll probably ask about attenuation in a single phase with differing densities, and for that I don't have much of a guess! Maybe someone else can give a better explanation?