I have received an update from Microsoft as stated below and the ongoing issue has been fixed. I have tested it and currently OPENROWSET function is working fine.
"Preliminary update on the RCA (Root Cause Analysis) regarding the current issue.
RCA:
Starting 11/19/2024, customers running any Azure SQL Database in WestCentralUS, EastAsia, UKSouth regions and a few select servers in other regions, may started experiencing an error in a query trying to access remote file via OPENROWSET, specifically Error 4861 “Cannot bulk load because the file could not be opened. Operating system error code 86(The specified network password is not correct.)”. The product team confirmed that this issue happened because of deployment delivering updates to corresponding databases. The issue was caused by a configuration change which was mitigated in the mentioned regions/servers by 11/25/2024 4:00 AM UTC"