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Try to change the parameters that Android Studio presents you on this screen, you can remove Padding from the icon, this Padding is an internal space that is generated between the icon and the image border generating a transparent space, making your icon get smaller.
You can also check the Trim option that removes the empty spaces around the icon image.
Another way will be using a custom icon, there are some utilities on the internet that generate these icons according to a selected image, I use much Icon Slayer that can be accessed by link: http://www.gieson.com/Library/projects/utilities/icon_slayer/#
You are generating various icons with the sizes hdpi, xhdpi, etc?
– leofontes
I use the form indicated in the image of the post to create the Auncher icon, but even so the icon gets smaller compared to other apps.
– Henqsan