You're not getting double line. You're getting one new line, but the paragraphs are styled to have margins between them. This is how usually the content of web pages is styled.

But you can of course control this. Contents inside clasic editor is styled by the contents.css file which is located in the main CKEditor directory. Add this line to it:

p {
    margin: 0
}

And the margins around paragraphs will be gone (remember to clear browser cache).