The subject of the AZ border has been extensively discussed. Land and sea borders are closed to tourists and look like staying that way indefinitely. The local authorities don't want an influx of draft dodging Russians as happened in Georgia, and reckon that tourists arriving by air spend more anyway.
If you really want to transit AZ and use the Caspian Sea ferry you'll have to get your bike freighted in and follow by air to pick it up. Leaving the country isn't an issue, only entering.
Otherwise, the route most people take is through Turkey, Georgia and Russia to KZ.
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