How do we fetch data through REST service which is hosted in window azure, from SharePoint site which in office 365? Can we need to create app for SharePoint which contain restAPI endpoint or any better solution than this?
By enabling CORS support in your Azure REST API, you can circumvent this. Do be warned however, that CORS must be supported by the browser too. I know there's some different behaviour between IE and other browsers in this regard.
Creating a SharePoint app actually also creates a new (sub)domain, so it won't work.