Musannaf Ibn Abi Shayba 3:4102

Hushaym narrated to us, he said: Yunus narrated to us, from ‘Amr ibn Sa‘id, he said: I saw Abu al-‘Aliyah enter the mosque and lead them in prayer while he was wearing a skullcap (qalansuwah) lined with fox fur. He took it off his head and placed it in his sleeve. When he finished his prayer, I said to him: "I saw you take your skullcap off your head and place it in your sleeve." He said: "I disliked praying in it, and I disliked placing it down lest it be stolen, so for that reason, I put it in the sleeve of my shirt."