By default VLC tries to download the covers corresponding to the media you are playing and also checks for an update.
You can change this behaviour in the Preferences -> Interface and look for "Album art download policy" and "Activate updates notifier".
When done then save, exit and restart VLC for the changes to be applied.
@Lotesdelere
OK thank you. That is only reason for connection?
Where the covers stored I have not seen them
VLC is great but i think all progs shouldhave default not connect, peolpe can connect if they want to. I did not even know about this until i was checking something else and noticed the firewall alerts