Marching ants isn't 100% accurate visually. I'm not sure if that is totally fair to say, but for the sake of this question, it's true. An especially good example is feathering. If you add feathering to your selection, the actual area of the selection continues past the marching ants.
You may have seen this warning sometimes when making low opacity selections:
Warning: No pixels are more than 50% selected. The selection edges will not be visible.
What is happening in your image (...probably):
My guess is that the area you see getting deleted is actually part of the selection, it just doesn't have marching ants around it.
There is probably a gap or light enough area somewhere, where Magic Wand drilled into that area. Lowering The
Magic Wand tolerance could help. You should also make sure there aren't any gaps.
It's slightly easier to see the selection area by enabling Quick Mask (
Q). The default 50% red can sometimes be hard to see but you can change the color and opacity. You can access the Quick Mask Options by double-clicking the Quick Mask icon in the toolbar.
This behavior can be demonstrated pretty easily if you make a larger selection and add a tiny thin line to the selection.
Anti-alias needs to be checked for this behavior to happen, but it's more than likely that you'll want to keep it checked.
Another way to easily create a selection that won't show any marching ants is to use the Quick Mask and use something like Brush Tool with Opacity set to anything lower than 50%. The selection is still there, but you won't see any marching ants.