Google Analytics setting cookies on static content despite being on entirely separate domain

I recently decided to comply with the YSlow recommendation that static content is hosted on a cookieless domain.

As I already use the root of my domain (donaldjenkins.com) to host my website—on which Google Analytics sets a few cookies—that meant I had to move the CNAME URL for the CDN serving the static files from cdn.donaldjenkins.com to an entirely separate, dedicated domain. I purchased cdn.dj (yes, it's a real Djibouti domain name), hosted the files on the root (which contains nothing else, other than a robots.txt file) and set a CNAME of e.cdn.dj for the CDN. This setup works, but I was rather surprised to find that YSlow was still flagging the static files for not being cookie-free: here's a screenshot:

The cdn.djdomain was new, and was never used for anything other than hosting these static files. Running httpfox on the site shows the _utma and _utmz Google Analytics cookies are being set on the static files listed above—despite their being hosted on an entirely separate, dedicated domain.

Here's my Google Analytics code:

//Google Analytics tracking code
var _gaq=[['_setAccount','UA-5245947-5'],['_trackPageview']];
(function(d,t){var g=d.createElement(t),s=d.getElementsByTagName(t)[0];
g.src=('https:'==location.protocol?'//ssl':'//www')+'.google-analytics.com/ga.js';
s.parentNode.insertBefore(g,s)}(document,'script'));
// [END] Google Analytics tracking code

I'm not obsessing about this issue—I know it's not really affecting server performance—but I'd like to just understand what is causing it not to go away...