Hello @David Pereira,
In Azure, depending on how you delete a virtual machine (VM), only the VM resource itself may be deleted, while associated resources such as the OS disk, data disks, network interfaces, and public IP addresses will not be removed automatically. This behavior depends on how the VM was created and the deletion options chosen. Additionally, you can take a snapshot of the VM’s managed disk and use it to create a new disk or attach it to another VM as needed.
When you no longer need a data disk that's attached to a virtual machine, you can easily detach it. This removes the disk from the virtual machine, but doesn't remove it from storage- https://learn.microsoft.com/en-us/azure/virtual-machines/windows/detach-disk
If you have any further queries, do let us know.