Unable Import Azure Network Security group?

Currently, I am using “terraform import” to put all my created infrastructure to under control of terraform.
Everything went fine until I try to import Azure Network Security Group.
Even I saw it on Azure Portal and found it on resources.azure.com, but result is alway not found.
The Error message is: resource address “azurerm_subnet_network_security_group.xx-xxx-xxxx” does not exist in the configuration.
Please share me if anyone have idea on how to solve this issue.