That is one of the limitations of SQL Azure (i suppose you mean SQL Azure. You may vote for the feature on the official UserVoice. Alternative should be use of full-fledged SQL Server on the Azure VM or use of some kind of messaging queue like Azure Storage Queue (when updating/creating/etc, send the message to the queue as a notification, and a receiver on the other end).
From comments section:
For use of Storage Queues, there is an official tutorial that works very well. Except configuration, you need "Insert a message into a queue" and "De-queue the next message" sections.
So, your solution may look like:
Your app is doing the change in the database => once it completes, app inserts the message into the queue => once it is done, that message should be de-queued on the other side with other application (which is the side that should be notified about changes).
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