Musannaf Ibn Abi Shayba 37:391

Yazid ibn Harun narrated to us, from Sa'id ibn Abi 'Aruba, from Qatada, from Sa'id ibn al-Musayyib, who said: Abu Bakr said, "Is there a land in Iraq called Khurasan?" They said, "Yes." He said, "For the Dajjal will emerge from it."