Some azaleas are deciduous azaleas. Not all are evergreen azaleas. Do you know the variety? It is early for deciduous azaleas to loose their leaves so that probably isn't what is happening.

Some azaleas, especially deciduous azaleas, have fall colors for the foliage that range from orange to bronze. This is touted as a feature rather than a problem.

There are many other causes for azalea leaves to turn brown. If the plant is dying, normally the leaves turn yellow, droop, curl up, and then turn brown. If the leaves look normal except they are turning brown, then it may be normal.

Yellowing and dropping of leaves is normal toward the end of the second summer on the small-leaved lepidote rhododendrons. These should have dense enough habit that this doesn't matter. The larger-leaved elepidote rhododendrons keep their leaves for 3 or 4 seasons. Like all evergreen plants, rhododendrons and azaleas periodically lose some of their foliage, and the leaves may turn yellow, red, or purple before they fall. Often the only leaves that remain are those that surround the flower buds at the tips of the branches. This characteristic is linked to the genetics of the parents used to breed garden azaleas. The degree of leaf coloration or loss is a function of parentage and not the severity of the winter. In unusually cold winters, certain azaleas may lose more leaves than they would in mild winters.