The nature of the cloud databases is the load balancing and fail over solutions may divert traffic to different physical machines (IP Addresses). I.e. your cloud database may translate to one IP address at one point and another later on. Hence the need to open up all ranges to the relevant data centre.
Azure datacentre IP ranges can be downloaded from this link: http://www.microsoft.com/en-us/download/details.aspx?id=41653
PS: If you would like to be covered for any eventuality, all data centres should be added to the list. If your data centre is unavailable, the traffic will be routed to another data centre altogether.
A data centre outage is very uncommon and has only happed a few times in these last 4 years (Our first customer started in 2010). However, the outages were of short duration and at such a time that it did not disrupt any of our users.