1 - Enable Azure Security Center for IoT
2 - Select a device security group
3 - Create a custom alert rule
Reference:
https://docs.microsoft.com/bs-latn-ba/azure/asc-for-iot/how-to-security-data-access
https://docs.microsoft.com/en-us/rest/api/securitycenter/devicesecuritygroups/createorupdate