EDIT
Data Factory now has native support for sftp.
It doesn't appear that Data factory supports sftp natively, however:
If you need to move data to/from a data store that Copy Activity
doesn't support, use a custom activity in Data Factory with your own
logic for copying/moving data. For details on creating and using a
custom activity, see Use custom activities in an Azure Data Factory
pipeline.
Also, Azure Logic Apps do support sftp natively which you could use to drop into blob storage, however I'm guessing (I'm soon to find out) that you'll loose the knowledge that the sftp server failing is a route cause when monitoring the factory.
SFTP planned feature in the azure feedback portal, if it is important to you I would recommend voting it up.