Thanks for your message @noelforte
Yes, my domain is managed by Netlify DNS.
I removed the subdomain in my site Settings > Domain Management > Domains > Custom Domains but that didn’t remove the associated DNS record.
I would like to use a CNAME for it not an A record.
My issue seems to be the same as this one: https://answers.netlify.com/t/how-to-remove-dangling-dns-entries/3900/10