Yup. Not only will you have to re-take the exam, you'll have to re-take the course, get fingerprinted, lots of fun stuff like that. I did the same thing; I was first licensed in CA, then moved very quickly to WA and had to re-do part of the exam there, but AZ has no reciprocal agreement for real estate licensing with other states, so when i moved here in 2010, it was like starting from scratch.
Check on the AZ Department of Real Estate for detailed licensing information, link below.
Coldwell Banker Trails & Paths