This could be for a couple of reasons. First, check that your name brand AA batteries have not been depleted. We always recommend you buy name brand AA alkaline batteries for the best performance and longevity.
Also, check and make sure the AA batteries are inserted in the right direction. Refer to the inside of the battery door cover to make sure the 'positive' (+) and 'negative (-) ends are facing the right way and make contact with the interior of the battery compartment.
Make sure to keep some extra AA batteries on hand when you plan on using your AZ252, just so you can stay on the go.