Are you using speaker level or line level inputs? A friend had the same problem when using a 30ft run of speaker wire. After switching to shielded coax, the problem went away.
I got it through the power cable rather than the signal cable. This can be tested by disconnecting all signal leads to the sub and seeing if it still picks up radio.
Coiling the power cable through an RF choke multiple times reduced it to a tolerable level in my system.
Thanks for the replies. I can hear it only when connected to the receiver. I've tried a couple of cables, decent quality although not really high end cables, no relief!