Akshually cheetahs don't live in the jungle, they live on the plains. It would be pretty hard for them to run super fast in the jungle. Like a lot of cats they prefer to be in a more open terrain with not a lot of trees like plains, hills, deserts and mountains.
Aside from cheetahs, wouldn't most prefer denser vegetation because it makes it easier to hide from prey and predators? It's just that they adapted to a subpar environment because they had an open niche to fill in.