Hard to say if the winery just doesn't have the proper paperwork in order to ship to AZ or if its a larger issue of AZ not being a wine friendly state that allows and supports direct shipments to consumers. It's for sure one of those scenarios though.
The issues are getting deeper, and every state has different rules / regulations. One of the wineries that I buy from said they have started using a new software package that is populated with all of the updated state rules and regulations, and is updated as they change. It has changed their compliance picture drastically, some for the good, some for the bad.
For instance, in Louisiana, if you have a distributor of your wine in the state, you can't sell to any members of the retail public, period (how long do you think it took the lobbyists for the alcohol industry to bribe their way into that piece of legislation?). If you don't sell your wine in the state through a distributor, only winery to consumer direct, you can't sell any more than 12 cases per year to any particular address, and for some reason, the rule also reads that the bottles can't be over 750 ml. Since the new software, wineries I've bought large format from before, can't sell it to me now. It's a real pain in the ass, and you can rest assured, that the alcohol distributors in your state are behind the mess, wanting to control 100% of the alcohol flow in and out of the states. I get it, distributors perform a service, mostly for big business and alcohol retailers. Flip side is that we, the consumers, don't always need middle men, and the market is trying to respond. I hope to see it adjust in the near future.