If you're running a general purpose operating system, it's a good idea to run antimalware on it. That includes virtual machines and virtual machines that run in a public cloud like Microsoft Azure. Not only is it a good idea, in many cases you need to make sure that antimalware is installed on your virtual machines to meet compliance requirements.
The good news is that if you're using Azure PaaS or IaaS services, you can install antimalware on your virtual machines. You have the option to use the free Microsoft antimalware, or you can use a non-Microsoft antimalware solution. For details, check out the article Antimalware for Azure Cloud Service and Virtual Machines.