After searching around and based on this article:
https://blogs.msdn.microsoft.com/dstfs/2015/12/23/issues-with-azure-active-directory-guest-users-in-aad-backed-visual-studio-team-services-accounts/
I am GUEST (user type) on Azure AD, so even I am global admin, I still cannot have access to this Azure AD.
From the link, this happens because:
One way you can become an AAD GUEST is when you are made a co-admin on an Azure subscription before being added to the AAD associated with it
It can be fixed by using powershell like @CtrlDo's answer. But you have to create an global admin with work/school account since this approach does not work with Microsoft account:
PowerShell - Connecting to Azure Active Directory using Microsoft Account
We have another approach which can be done in the UI that we think it's simpler:
- Remove my account out of co-admins of subscription.
- Remove my account out of Azure AD.
- Add my account back to Azure AD as Global Admin.
- Add my account back to be co-admin on subscription.
That does work perfectly