You are right: $\mathbb{Z}$ only contains integers. The set displayed here, though, is a subset of $\mathbb{R}$ and can thus contain $\sqrt{2}$.
The notation says it contains all elements of the form $a+\sqrt{2}b$, where $a$ and $b$ are integers. Let me give you a few examples:
$a=b=1$: Then $a+\sqrt{2}b = 1+\sqrt{2}$.
$a=b=0$: Then $a+\sqrt{2}b = 0$.
$a=3, b=-2$: Then $a+\sqrt{2}b = 3-2\sqrt{2}$.
$b = 0$: Then $a+\sqrt{2}b = a$ and because of this any integer is in your set. But as you have seen also nonintegers like $1+\sqrt{2}$ can be part of that set.
I hope this helps clearing things up a bit.