You are not doing anything wrong, its just that the resolution of the images themselves is getting fuzzy. Its like if you took a photo on your computer, if you make it smaller by scaling it down, it will make the image blurry looking close up, but will still look fine if you look at it further away.
Construct 2 is able to take high resolution images and when they scale down, they will still look fine even though they are technically smaller than the original resolution.