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According to the game on which the anime is based, Azazel was cast down from heaven because of his love for a human girl. The fallen angel himself realized the depth of his feelings when the unfortunate girl was already killed by his former comrades. This story is probably canon in the anime universe as well, because even in the "Genesis" materials, it was mentioned that Azazel has a love tragedy behind him that he doesn't want to remember.
P.S. The funniest thing is that I did find something similar. True, Google Translate might be misleading, but in a random set of words here, something like that can be guessed.
Also
Dark Dominator - Azazel
А, вот почему.
🏹🎪+⛓️♿=💕
🏹🎪+⛓️♿=💕