The problem with netstat is that I couldn't see the name of the executable file that had established this connection. As usual Sysinternals comes to the rescue. They offer a tool called TCPView which also shows the process name along with connection info. It turned out that TeamViewer that I recently installed had established the cust.tele2.se:5938 connection:
Another alternative to find the process name that owns a connection is to use netstat -o which will list the process identifier for each connection and compare it to the information listed in the Windows Task Manager.