Musnad Ahmad 32:2089

Affan narrated to us, Hammad narrated to us, Thabit informed us, from Anas, that the Messenger of Allah (peace and blessings of Allah be upon him) said: "There is no soul that dies, having goodness with Allah, that would like to return to the world, except for the martyr. For he would like to return to the world so that he may be killed, because of what he sees of the virtue of martyrdom."