Inspect the plant with a magnifying glass and look for insects, full grown, larva or eggs. If found, collect in a plastic bag, freeze without squishing them. Once they are dead, you can check insect sites to identify the insect and find out the best way to treat the plant. Following is one possibility.  
From U of Georgia:

Azalea Lace Bugs are major pests of azaleas. They feed on the underside of leaves, but the damage they cause is most apparent on the upper leaf surface, which appears stippled when groups of adjoining leaf cells become chlorotic. Brown to black droplets of excrement and old “skins” of the nymphs (immature lace bugs) are visible on the undersides of damaged leaves. Adult lace bugs are flattened and rectangular in shape and ⅛ to ¼ in. long. The area behind the head and the wing covers form a broadened, lace-like covering over the body of the insect. The wings of most lace bugs are light amber to transparent in color.

Lace bug nymphs are flat and oval with spines projecting from their bodies in all directions. A lace bug nymph goes through five growth stages (in-stars) before becoming an adult. At each stage the nymph sheds its skin (molts), and these old skins often remain attached to the lower surface of infested leaves.

Azalea lace bug eggs are football-shaped and are transparent to cream colored. The eggs are found on the lower leaf surface, usually alongside a leaf vein. Adult females secrete a varnish-like substance over the eggs that hardens into a scablike protective covering. The egg stage overwinters in leaves of evergreen azaleas. There are four generations per year. Control of the first generation in March may reduce the need for additional insecticide applications and conserve the many predators and an egg parasite that are natural control agents of the lace bug.

For insect identification: 

https://apps.extension.umn.edu/garden/diagnose/insect/garden/
Last, do not dig up the defoliated plant unless it does not releaf by fall. This early in the season it may recover if the insect eating it is killed.