Well as of 2018-06-05 this feature is not available in the Azure Portal. Today you have to configure "Diagnostic Logs" for the Load Balancer. If you choose the "Storage Account" option a JSON file is created with records like below
{
"time": "2018-06-05T08:50:04.2266987Z",
"systemId": "XXXXXXXX-XXXX-XXXX-XXXX-d81b04ac33df",
"category": "LoadBalancerProbeHealthStatus",
"resourceId": "/SUBSCRIPTIONS/XXXXXXXX-XXXX-XXXX-XXXX-XXXXXXXXXXX/RESOURCEGROUPS/TEST-INT/PROVIDERS/MICROSOFT.NETWORK/LOADBALANCERS/TEST-LB",
"operationName": "LoadBalancerProbeHealthStatus",
"properties": {"publicIpAddress":"XXX.XXX.XXX.XXX","port":8080,"totalDipCount":2,"dipDownCount":0,"healthPercentage":100.000000}
}
,
{
"time": "2018-06-05T08:50:09.2415410Z",
"systemId": "XXXXXXXX-XXXX-XXXX-XXXX-d81b04ac33df",
"category": "LoadBalancerProbeHealthStatus",
"resourceId": "/SUBSCRIPTIONS/XXXXXXXX-XXXX-XXXX-XXXX-XXXXXXXXXXX/RESOURCEGROUPS/TEST-INT/PROVIDERS/MICROSOFT.NETWORK/LOADBALANCERS/TEST-LB",
"operationName": "LoadBalancerProbeHealthStatus",
"properties": {"publicIpAddress":"XXX.XXX.XXX.XXX","port":8080,"totalDipCount":2,"dipDownCount":1,"healthPercentage":50.000000}
}
"Log Analytics" suggested by Eric is not mandatory but can be used to analyze these LB logs.