When you create a character, you can select difficulty, which impact your losses upon death:
- Softcore: Softcore characters drop half (3/4 on Expert mode) of their coins when killed by an enemy.
- Mediumcore: Mediumcore characters drop all of their items upon death, including all coins and ammo.
- Hardcore: Hardcore characters die permanently, and drop all of their items upon death, including coins and ammo, which other players can then collect in multiplayer.
So it's because of your friend character settings, not your host/world settings.
Keep your items in chests/bank, only bring the necessaries on the character. Better, bring a Piggy Bank or a Money Trough and store items in it frequently.
If your friends accept cheating, they can set the character type to Softcore by edit their save file using some save editor like Terrasavr (remember to backup, it can break your saves).