Fuzzy selecting makes part of picture more transparent..

[Ofnuts]

The "marching ants" follow a line where pixels are more than half selected on one side, and less that half selected on the other.They mark the true edge of the selection only for "sharp" selections, where everything is fully selected or not selected at all but with 'Anti-aliasing' you implicitly accepted some partial selection to happen. Then, when you delete, these partially selected pixels are partially deleted, and so become partially transparent.