Hi Manish,
You can refer to this link and read in detail why this is the case.
https://learn.microsoft.com/en-us/azure/application-gateway/application-gateway-faq
For more security options check this article here: https://learn.microsoft.com/en-us/azure/architecture/example-scenario/gateway/firewall-application-gateway
Basically the answer lies in this part I am copying and pasting from first link:
Application Gateway is a layer 7 load balancer, which means it works only with web traffic (HTTP, HTTPS, WebSocket, and HTTP/2). It supports capabilities such as TLS termination, cookie-based session affinity, and round robin for load-balancing traffic. Load Balancer load-balances traffic at layer 4 (TCP or UDP).
SSH is not supported. For other possibilities for your scenario check the second link.
Hope this helps !