They're not mutually authenticating, they're origin-bound (making them non-forwardable on the remote side) and channel-bound (meaning the authenticating action is guaranteed to be for the same device as the user action).

However, there's no particular reason a FIDO key couldn't sign a login statement to a phishing site---it's just that statement wouldn't then be usable as a valid credential for the true site, regardless of if the signature from the FIDO key was valid or not.