"save as picture" adds unwanted space to resulting image

When I right click a textbox shape and select "Save as picture", no matter what format I choose, the resulting image has unwanted space on it

In example, if I have a textbox shape with text "Label", font "Arial", font-size 8 and a red border, when I save this shape (PNG or GIFF or EMF or whatever) the resulting image has some space to the left, top and right of the red border. it seems as if the textbox where centered on the image. Is there a way to get rid of this space

Thanks in advance

EDIT:

Hi, thanks everybody for your responses.

I've been  following this issue from .Net code, where I take a picture of the shape (by calling shape.copy) and then put that image on a PictureBox Winforms control. The picture must show whathever the user had written in the shape, and the shape must preserve its formatting.

Since it has been shown here that this behavior is due to text size, I guess I will have to look for another approach to my underlying problem

Thanks again