We introduce matter-wave vector azimuthons, i.e., spatially localized vortex states with azimuthal modulations of density, in multicomponent Bose-Einstein condensates. These localized states generalize spatially modulated vortex solitons introduced earlier in nonlinear optics ͓A. S. Desyatnikov, A. A. Sukhorukov, and Yu. S. Kivshar, Phys. Rev. Lett. 95, 203904 ͑2005͔͒ and Bose-Einstein condensates ͓V. M. Lashkin, Phys. Rev. A 77, 025602 ͑2008͔͒. We find, numerically, nonrotating and rotating two-component azimuthons in a Bose-Einstein condensate with a negative scattering length confined by a quasi-two-dimensional parabolic trap.