Is there any specific reason why we can't use SSIS in windows azure ?
Windows Azure only supports a subset of features of SQL Server via the Azure SQL components. SSIS can only be used locally (on-premise in cloud terminology) for the time being, but SSIS will likely be ported eventually.
As an alternative - you could use SSIS locally and combine it with SQL Data Sync if you intend on changing (insert/update/delete) any of the data via SSIS (versus just exporting - selects).
Windows Azure is still maturing - it has only been RTM since 2010. Each existing component must be ported over to the new Azure structure which takes extensive re-developing.
SSIS isn't currently supported on SQL Azure, I'm not sure what is the background for the question, but I don't know if there is a need to seek a specific reason - there are still many technologies that are not (yet) supported on Azure but Microsoft is increasingly introducing more capabilities.
For example- SSRS was not available on Azure initially, but is now in CTP, and will be RTM in the near future; I don't think it's a question of if, but rather a question of when (but I'm sorry, I don't have an answer for that one)
The other answers are all correct. In addition, another option to you is to actually RUN your SSIS packages on your on-premise server but to hit a remote SQL Azure server. Depending on what all you're doing, this is certainly possible.
Check out this article on migrating data from on-premise to SQL Azure using SSIS. It's not exactly an answer to what you're asking, but it provides a good example of integrating SSIS with Azure.
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