It appears to be referring to an article in the European Journal of Clinical Nutrition called "Relationship between alcohol intake, health and social status and cardiovascular risk factors in the urban Paris-Ile-De-France Cohort: is the cardioprotective action of alcohol a myth?"
From the Abstract of the paper it appears that it isn't quite as clear-cut as the Sun makes out. The Results part states
Alcohol intake was strongly associated with plasma high-density lipoprotein-cholesterol in both sexes ... moderate and low drinkers displayed better health status than did never drinkers. Importantly, few factors were causally related to alcohol intake.The Conclusion goes on to state
[M]oderate alcohol consumption may represent a marker of higher social level, superior health status and lower [cardiovascular] risk.As you can see, the paper does not make a causal link as the article suggests.
Unfortunately the main body of the article is behind a pay-wall and so I do not have access to it. If anyone has access to it, and is willing to provide a copy, I would be very grateful if you could leave a comment.