Explanation
Create a Continuous Export.
* In the Application Insights resource for your app under configure on the left, open Continuous Export and choose Add:
* Choose the telemetry data types you want to export.
* Create or select an Azure storage account where you want to store the data. Click Add, Export Destination, Storage account, and then either create a new store or choose an existing store.
* Create or select a container in the storage.
Reference:
https://docs.microsoft.com/en-us/azure/azure-monitor/app/export-telemetry#continuous-export-advanced-storage