Avast Firewall blocked some connections from Firefox Web Browser that i did not klicked.
So it has to be a malware addon, extension in Firefox.
Why cant Avast Free Antivirus not detect and remove such bad addons?
Would be fine 
Blocking some connections is usually down to the web shield and would be completely different. It doesn’t necessarily have to be a malicious add-on.
So I’m somewhat surprised that you say this is the Avast Firewall blocking, note that I don’t use the Avast Firewall.
A screenshot of the Firewall blocking information, or if an Avast Alert with the Details option selected would help.
It is more likely that this is something in your cookies, browser history and or extensions.
First, try clearing your browser cache and cookies, etc., restart your browser and monitor for any such activity.
If the activity is still present, try browsing with add-ons disabled, restart and monitor.