Musnad Ahmad 937:138

Muhammad ibn Ja‘far narrated to us, Shu‘bah narrated to us, from ‘Amr ibn Murrah, from Abu al-Bakhtari, from Abu Dharr, from the Prophet (may Allah bless him and grant him peace), that he mentioned things for which a man is rewarded, until he mentioned to me having intercourse with his wife. They said: "O Messenger of Allah, is he rewarded for his desire that he satisfies?" He said: "Do you see, if he were to commit it unlawfully, would he not bear a sin?" They said: "Yes." He said: "Likewise, he is rewarded."