An Azure relational database service.
Based on my experience that error Msg 4861 is related to the location that cannot be found. Try creating the External Data Source as shown below:
CREATE EXTERNAL DATA SOURCE MyAzureBlobStorage
WITH ( TYPE = BLOB_STORAGE,
LOCATION = 'https://myazureblobstorage.blob.core.windows.net',
CREDENTIAL= MyAzureBlobStorageCredential);
GO
BULK INSERT Product FROM 'sta/arinvt_class.csv' WITH (DATA_SOURCE = 'MyAzureBlobStorage', FORMAT='CSV', CODEPAGE = 65001, --UTF-8 encoding FIRSTROW=2, ROWTERMINATOR = '0x0a', TABLOCK);