Hello @Gregorio Montaño ,
I guess you are seeing some files like /usr/src/linux-azure-headers-<version-numbers>.
Those files must belong to a package called something like linux-headers-<version-number>-azure or something similar, you should be able to verify the presence of that package using the below command:
dpkg -l | grep linux-headers
and remove with the command:
dpkg -r <package_name>
Although I am not very much sure on it's effectiveness without a restart, however please give it a try and let me know.
If there are other packages depending on the presence of the linux-headers, you should receive a warning or at least a prompt to confirm the action.
I'd recommend you take a system backup as that package will no longer be available once you remove it, and incase if you need it after being removed, you will atleast have a backup.
Feel free to respond back and let me know if this helps. :)
---------------
If you find the above information helpful, kindly accept as answer
or upvote
to increase the relevancy of this post.