Thank you all, guys for your replies.
@Asyn, I linked a screenshot as external image because I didn't find a way to paste here in the post.
@Pondus, crystal clear. In my mind the first attempt to find the root cause would be to identify the process in my computer that is triggering the alert, instead of checking if it is a false positive of my antivirus.
@Pondus, the process showed by Avast as cause of the popup is a system process aimed to manage networking communication so it is telling nothing to me about which is the application process who requested that URL. The only thing I know is that the application process is not Safari or Chrome (the browsers I usually use). So one question I have is: is Avast able to detect the real application process requesting that url or not? There is any log file I can look at for that?