Fuzzy selecting makes part of picture more transparent..

[akovia]

The marching ants you see are just a close approximation to what you are selecting. If the colors are close enough, it might select some of that color too, but not enough to make the marching ants go around that part.

Try using a lower threshold if this happens, or of course use the path tool. If it is a simple shape, the path tool is almost always the best option.