Musnad Ahmad 1018:79

Hajjaj narrated to us, Shu'bah narrated to us, from 'Amr ibn Dinar, from 'Amr ibn Aws, from a man who narrated to him from the Mu'adhdhin (caller to prayer) of the Messenger of Allah (ﷺ), who said: The caller of the Messenger of Allah (ﷺ) called out on a rainy day: "Pray in your dwellings."