Can't upload file through API

I'm trying to upload files to Azure for fine-tuning, but I'm getting resource not available error.
I know that the client I creates is fine, because I tested it with the chat option. For example, if I run the following using my client:

client.chat.completions.create(
    messages=[{"content": "What is the weather like today?", "role": "user"}], model="gpt-4o"
)

It will work fine, but when I try to run a command to upload a file:

client.files.create(file=open("messages/train_messages.jsonl", "rb"), purpose="fine-tune")

It gives me an error: NotFoundError: Error code: 404 - {'error': {'code': '404', 'message': 'Resource not found'}}