Musnad Ahmad 30:3135

Surayj narrated to us, he said: Fulayh narrated to us, from Umar ibn al-Ala’ al-Thaqafi, from his father, from Abu Hurayrah, who said: The Messenger of Allah (peace and blessings of Allah be upon him) said: "Al-Madinah and Makkah are surrounded by angels. At every mountain pass of them is an angel; the Dajjal shall not enter them, nor shall the plague."