have you heard of deficiency judgment?

If your mortgage is recourse loan, your bank may go after you.  Say your outstanding mortgage is x, and the bank sells the defaulted property for amount of y, if x-y > 0, you may be liable the shortfall.  State laws are different, not sure about AZ, I know there is no deciciency judgment in CA.  The chance that the bank will sue for deficiency is slim, it takes time and money for them to pursuit.  If I were you, I will try to do deed in lieu of foreclosure first.

Good luck.