Musnad Ahmad 32:304

Yazid narrated to us, Shu'bah informed us, from Qatadah, from Anas, from the Prophet, peace and blessings of Allah be upon him, who said: "The Dajjal will come to Medina and find the angels guarding it. Therefore, the Dajjal will not enter it, nor will the plague, if Allah wills."