Cloudflare Proxy and Azure Load Balancer w/ Session Affinity

I have the following setup:

Cloudflare DNS w/ proxy - mydomain.com
Azure Load balancer w session affinity set to Client IP

This setup does not work as the IP addresses are all different with each new request. They are all Cloudflare IPs. How can I get the session affinity to work in azure load balancer when I have a domain behind a Cloudflare DNS Proxy?

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