You can accomplish this by creating an alert from the activity log. By default it only keeps 90 days. You can extend that by pushing them into a storage account. See the attached pictures below. You will navigate to the Network Security Group within the portal go to the activity log and select the activity. From there you can create the alert you are looking for and send it to the appropriate action group.
Hi Bryan! after a while it is working, as a tip you need to wait hours not minutes for the alerting rule working, I did the configuration several times and was thinking did not work, until stop and wait. Thank you for your help!
Hi Again @Bryan Haslip May be you can help me, I have the alert working by this way: If I make a change related with any NSG like delete, create I receive an email alerting about it but Adding, deleting, modifying inbound security rules or outbound security rules in any of the NSG there is not notification email about it, any idea will be apprecciated!