It's likely because Azureus uses a little known (and pretty dangerous, in my opinion) protocol called UPnP to open the ports it needs on your router. Once the ports are open, you're vulnerable to worms and such that propogate through those ports.
Whether or not it is actually an issue, if most firewalls (or virus scanners or whatever) detect a propogation attempt, they'll make sure you know that they blocked it and "look how good I am!", even if you aren't vulnerable in the first place.
I'm guessing that's what you're seeing. It's not likely that you're in any danger, but commercial firewalls like to make it seem like you are.