Scalia’s quip isn’t entirely right, as the indictment of Jared Loughner, the Tucson shooter, shows. Because his killings involved a federal interest (however attenuated that interest is), he (according to the indictment) violated a federal law.
Justice Scalia made these remarks at the opening of a Mississippi State Court house to drive home the point that laws related to crime, contracts, property and family are mostly state laws.