@Ram Veera - Thanks for the question and using MS Q&A paltform.
Azure data factory is not supported in the New Microsoft Purview Portal. You need to use Goverance portal (classic) to connect to Azure Data Factory.
OR
You can switch between the classic and new experiences using the toggle at the top of the portal.
Note: The official document which you are referring: Connect Data Factory to Microsoft Purview applicable to Microsoft Purview Governance Portal (classic)
For more details, refer to Get ready for the next enhancement in Microsoft Purview governance and Frequently asked questions for the new Microsoft Purview portal.
Hope this helps. Do let us know if you any further queries.
If this answers your query, do click Accept Answer
and Yes
for was this answer helpful. And, if you have any further query do let us know.