Previously I have Azure Web App (.net core) and It successfully track the SQL Server and Service Bus dependency into Application Insights. It is not working some how with Azure Functions.
Environment
I have Azure API management at front and backend is Azure Function and that call SQL Server and Service Bus.
I know I am posting my own answer. Also there are chance that in future there may be some good solution or it get integrated the way it is in in-process mode.
By then follow steps.
Microsoft.ApplicationInsights.WorkerService
services.AddApplicationInsightsTelemetryWorkerService();
More info at https://learn.microsoft.com/en-us/azure/azure-monitor/app/worker-service