Arun Sirpal notes that you can take a cloud database back to on-premises:
The Challenge: I am going to write about a way to move from Azure SQL Database (Platform as a service) back to a local SQL Server. I did encounter errors on the way but more importantly I have written how to avoid/solve them.
Another key point I made sure that there were no connections to the database when doing the below as I didn’t want in-flight data movement whilst doing it. If you can’t do this, then you should create a copy of the database and work from that.
It’s not a trivial operation, but Arun does walk us through the steps.