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The selection of the device in the toolbar is the interface to capture from, not a capture filter to limit the traffic captured.
You're using your device to capture traffic, so it will pick up transmissions from other devices. Amongst other information obtained from the capture is the MAC address of the source of the transmission and Wireshark will, if enabled, helpfully translate the manufacturer specific octets to the name.
Capturing and not receiving packets from other devices wouldn't be a very rewarding exercise.
