User blog comment:B214/Question and Answers/@comment-50.11.177.49-20130223224454/@comment-33447191-20130224033526

Azazel cares for Vali after picking him up when his parents abandoned him and raising him as his own. Issei even notes his sadness in Volume 4 after her learned that Vali defected to the Khaos Brigade side.

Vali feels the same way which was shown in Volume 11. Cao Cao said it best, "You were abandoned by your parents because they thought you were a monster, and the one who picked you up and taught you how to use your power was Governor Azazel wasn’t it!? Are you enraged because the life saver who raised you got taken down!?".

They still keep in touch in various instances when Vali informs Azazel of various things.