Dimitri Furman answers some common questions about Azure SQL Database:
Q7. Can I use Windows Authentication in Azure SQL Database?
The short answer is no. Therefore, if you are migrating an application dependent on Windows Authentication from SQL Server to Azure SQL Database, you may have to either switch to SQL Authentication (i.e. use a separate login and password for database access), or use Azure Active Directory Authentication (AAD Authentication).
The latter is conceptually similar to Windows Authentication in the sense that connections from directory principals are authenticated without the need to provide additional secrets, such as a password. Since Azure Active Directory can be federated with the on-premises Active Directory Domain Services, it can effectively authenticate the same Active Directory principals that could access the database prior to migration. However, the authentication flow for AAD Authentication is significantly different, so the analogy with Windows Authentication only goes so far.
There are some good questions in here, especially the one about retry logic; that’s good to have in any situation, but becomes vital when working with a cloud service.