If your machine is 64 bit, it will only make the 64 bit .msi file when you build "Any CPU". I had the same issue and found the best solution is just to use a 32 bit platform or make two separate projects and have two different installers. If you want to have both 32 bit and 64 bit .msi files in a single setup project you have to get the Pro version.
The answer to this question discuses how to do this. Installshield 2012 : Identify 32 or 64 bit Operating system and install appropriate ActiveX control - Basic msi installer