It's the wire. It acts like an antenna and what you hear is a radio station. Not the actual frequency, most likely an harmonic.
This is because the wire is cheap and badly shielded. Unfortunately, there's not much you can do other than changing the wire for a better one.
Just for fun, you can try putting tin foil around the wire, get another wire and make a loop around the tin foil, put the other end around a screw in your computer case (to ground the foil). The radio should disappear. Interesting experiment but not a practical solution.