Welcome to Microsoft Q&A Platform, thanks for posting your query here.
You should activate the log for the Key Vault, from there you can monitor the connections to the Key Vault.
https://video2.skills-academy.com/en-us/azure/key-vault/general/howto-logging
Also, you can configure alerts if there is any specific activity on the Key vault
https://video2.skills-academy.com/en-us/azure/key-vault/general/alert
Hope this helps,
Carlos Solís Salazar
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