diff --git a/lib/ansible/modules/cloud/azure/azure_rm_securitygroup.py b/lib/ansible/modules/cloud/azure/azure_rm_securitygroup.py
index 5d2e5aeb82..bdc50f370e 100644
--- a/lib/ansible/modules/cloud/azure/azure_rm_securitygroup.py
+++ b/lib/ansible/modules/cloud/azure/azure_rm_securitygroup.py
@@ -741,7 +741,8 @@ class AzureRMSecurityGroup(AzureRMModuleBase):
             poller = self.network_client.network_security_groups.delete(resource_group_name=self.resource_group, network_security_group_name=self.name)
             result = self.get_poller_result(poller)
         except CloudError as exc:
-            raise Exception("Error deleting security group {0} - {1}".format(self.name, str(exc)))
+            self.fail("Error deleting security group {0} - {1}".format(self.name, str(exc)))
+
         return result
 
     def convert_asg_to_id(self, rule):