Perform the following in the Azure Console:

1. Login to Azure Portal using https://portal.azure.com
2. Go to Virtual Machines
3. Click on each Virtual machine 
4. Under the Settings section, click on Networking
5. Remove rule which is open to all for this Protocol and Port

References:

1. https://docs.microsoft.com/en-us/azure/virtual-machines/windows/nsg-quickstart-portal
2. https://docs.microsoft.com/en-us/azure/virtual-network/security-overview