Hello @Arun Kumar
Thanks for the question and using MS Q&A platform.
Make sure on Azure SQL firewall you set "Allow Azure services and resources to access this server" to Yes.
For more details, refer to Discover and govern Azure SQL Database in Microsoft Purview.
Hope this helps. Do let us know if you any further queries.
Please don’t forget to Accept Answer
wherever the information provided helps you, this can be beneficial to other community members.