Musnad Ahmad 30:1156

Abu Abd al-Rahman narrated to us, Sa'id narrated to us, Abu Khayrah narrated to me, from Musa ibn Wardan—Abu Khayrah said: "I do not know except that he said"—from Abu Hurayrah, that the Messenger of Allah (peace and blessings of Allah be upon him) said: "Whoever among the males of my Ummah believes in Allah and the Last Day, let him not enter the bathhouse except with a lower garment (izar). And whoever among the females of my Ummah believes in Allah and the Last Day, let her not enter the bathhouse."