during the "release" of core library we upgraded from azcore 0.19.0 to 0.20.0. However there's no azidentity for that version yet.
The workaround for now is to edit the go mod and replace az identity by
github.com/Azure/azure-sdk-for-go/sdk/azidentity v0.0.0-20211101190130-7f961f26ebb5