We investigated the magnetization and crystal structure of FeSe polycrystalline samples with various grain sizes. For the samples with large grains, a large magnetic critical current density Jc was observed. For the samples with small grains, superconductivity signals were not observed; instead, magnetization hysteresis, which is not a result of superconductivity, was observed. In the X-ray diffraction pattern for the samples with small grains, broad additional peaks were observed, corresponding to the formation of the non-superconducting (monoclinic) Fe-Se phase at the FeSe grain surface. The crystal structure instability at the grain surface would be the reason for the low superconducting properties of the Fe-chalcogenide polycrystalline wires investigated thus far.