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-configuration