Ensure SQL Database Threat Detection is Enabled and that Email to Account Admins is also Enabled

Azure SQL Database Threat Detection is a security intelligence feature built into the Azure SQL Database service. Working around the clock to learn, profile and detect anomalous database activities, Azure SQL Database Threat Detection identifies potential threats to the database. Security officers or other designated administrators can get an immediate notification about suspicious database activities as they occur. Each notification provides details of the suspicious activity and recommends how to further investigate and mitigate the threat.