We explore possible physical origin of correlation between radio wave and very-high-energy neutrino emission in active galactic nuclei (AGN), suggested by recently reported evidence for correlation between neutrino arrival directions and positions of brightest radio-loud AGN. We show that such correlation is expected if both synchrotron emitting electrons and neutrinos originate from decays of charged pions produced in proton-proton interactions in parsec-scale relativistic jet propagating through circum-nuclear medium of the AGN.