How can I connect to an Azure SQL database without IP whitelisting?

At myinterview, I was asked how I would use Azure Data Factory to connect to a newly provisioned SQL Server in a resource group without having to whitelist the IP address.

I suggested that Managed Identity be employed.

Could someone guide me to the best practices around it. The securest way to connect to Azure SQL DB.

I answered Managed Identity. However not sure about this.