Azure Query Editor

I'm trying (just to have a look around) to connect to my Azure DB by using the query editor in the portal.
I am having problems connecting as I get the error: A connection to the server 'xxxx.database.windows.net' could not be established. This might indicate an issue with your local firewall configuration or your network proxy settings. I get the same message if I try either SQL or AD authentication.
I am able to connect to the DB if I use SSMS on my PC so I'm not sure why it mentions outgoing ports?