Musnad Abu Ya'la al-Mawsili 116:20

Ahmad narrated to us, Yahya ibn Ma'in narrated to us, he said: Yazid ibn Harun narrated it to me, Shu'bah informed us, from Qatadah, from Anas, from the Prophet (may Allah bless him and grant him peace), who said: "Regarding Medina: The Dajjal will come to it and find the angels guarding it, so the Dajjal will not enter it."