The error usually occurs when you are using a system with a proxy configured.
For best practices, refer: https://learn.microsoft.com/en-us/cli/azure/use-cli-effectively?tabs=bash%2Cbash2#work-behind-a-proxy
Please make sure you are setting an environment variable REQUESTS_CA_BUNDLE according to your OS as documented.
Then add the proxy server's certificate to the CA bundle certificate file.