Winform application – error on getting Azure secret from KeyVault "DefaultAzureCredential failed to retrieve a token from the included credentials."

I have winform application written in c#. I am trying to fetch azure secrets from Azure KeyVault. I have written below function to fetch the secret.

    private async Task<string> GetSecretFromAzureKV(string secretName)
    {
        try
        {
            var keyVaultName = "my-Keyvault-name";
            var kvUri = $"https://{keyVaultName}.vault.azure.net";

            var credentials = new DefaultAzureCredential();
            var client = new SecretClient(new Uri(kvUri), credentials);

            var secret = await client.GetSecretAsync(secretName);

            return secret.Value.Value;
        }
        catch (Exception ex)
        {

            throw;
        }
    }

When I debug this solution I can see below error.

Also, note that I am not running it on Azure VM. The code is on my local machine.
Any help is greatly appreciated. Thanks.