There is no problem, it is the normally expected behaviour. The box provides visual feedback for links that have “focus” when navigating a web document. This style is provided by your browser, if you do not override it.
Try overriding it like this:
yourElement:focus {
outline: 0;
}
You don’t want to do this for regular content (http://www.outlinenone.com/) though.
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solved What is this werid grey box after I click a button element?