Laz files are basically just compressed versions of .las files. While .laz files are useful for storing and transferring data, in order to work with them in ArcMap they must be decompressed back into .las files. The easiest way to convert .laz files into .las files is to use a software program called “.lasTools”. The specific application that you need is called LasZip. After clicking the hyperlink, scroll down to the “Background” paragraph and click on the “ ” link. This will start the download for the program that you need to use in order to convert your files.
“Browse” → Find your data in the directory → “Add” → “Process all files” → “Decompress”
It can be converted in ArcMap too. For example: