I wanted to discuss this topic a little further. I ran into this same problem and while the work around described in this thread does allow the tentecle to work, I would like to point out why this solution is less then optimal
http://help.octopusdeploy.com/discussions/problems/7833-tentacle-on-azure-vm
In this scenerio, I have multiple azure vms that are load balanced to server and application. As a result I cannot access the servers directly by dns or ip, I have to vary the ports to these machines. This works if you want to have a manual setup process, but ideally spinning up more vms in this cluster needs to require minimal steps to get everything configured and hooked up for deployment. So, keep the tentacle port the same on each machine means I can just use the azure powershell api to configure portforwarding when a new machine is added, and I do not need to run any code on the server instance to deploy to the server. If the port of the tentacle needs to change when a new server is added, then there is additional complexity to run a remote command or remote powershell instance to remotely configure the tentacle before adding the port forwarding rules. iis and the other servers dont have a problem supporting port forwarding it would be nice to have this problem worked out or investigated further.