After the start of World War I, Azef lost all his savings as they were invested in Russian securities. To survive, he opened a corset workshop in Berlin. In June 1915, he was arrested by the German police for being a former Russian secret agent. He was held in Moabit prison and was only released in December 1917.

During his imprisonment, Azef fell ill and died on April 24, 1918, from kidney failure at the Berlin clinic 'Krankenhaus Westend'. He was buried in Berlin at the Wilmersdorf cemetery in an unmarked grave numbered 446. According to some reports, this burial site has survived to this day.