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I signed up to Mullvad for VPN service, and manually run OpenVPN from my Linux box. I rebooted my computer and make sure not to start any OpenVPN service. Yet when I did a Wireshark analysis I am seeing this OpenVPN result. I did a check on whois for the IP address and discovered they belong to Mullvad!

Here is a screenshot with my IP blanked: enter image description here

I ran ps waux on Linux and found nothing related to OpenVPN or Mullvad running. But what does this result mean? Could Mullvad by trying to connect to my box? Is it trying every port because the list was long?

How can I proceed in order to maintain myself secure?

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You can't really (legall) stop them from trying to connect to you other than by emailing or writing (possibly through a solicitor/lawyer) to them and asking them to stop. In the Wireshark output provided, they're being denied on every connection attempt as their sending a UDP segment and your machine is responding with an IMCP Port Unreachable, which is the correct and ideal behaviour as that port is closed on your system. – Mark Hillick Jul 5 '12 at 10:46
I also encounter the same with Mullvad. I never understood if this is a error from my side or theirs or a malicious intent from Mullvad part... Might they be trying to get into their customer computer? They also have $ping 10, and $ping-exit 60 on their openvpn config, not sure if that might have to do with it. – Rick Rhodes Jul 5 '12 at 12:53

It looks as though you're rather secure. Your machine is rejecting connections on those ports.

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