Set up Advanced Threat Protection in the Azure portal.
1. From the Azure portal navigate to the configuration page of the Azure SQL Database db2, which you want to protect. In the security settings, select Advanced Data Security.
2. On the Advanced Data Security configuration page:
Enable Advanced Data Security on the server.
In Advanced Threat Protection Settings, in the Send alerts to text box, enter
[email protected] to receive security alerts upon detection of anomalous database activities.

References:
https://docs.microsoft.com/en-us/azure/sql-database/sql-database-threat-detection