Azure IoT Hub supports three protocols: AMQP, MQTT, and HTTPs.
Choose AMQP or MQTT except for the device only support HTTPs.
Choose AMQP if that require connecting multiple devices over the same TLS connection.
Choose MQTT if the device has limited resources (for example, less than 1-MB RAM) because it has a smaller footprint than the AMQP libraries.
It depends on your concern.
Reference - choose a communication protocol