Musnad Ahmad 33:536

Yahya ibn Ishaq narrated to us, Ibn Lahi'ah informed us, from Abu al-Zubayr, from Jabir ibn Abdullah, who said: The Messenger of Allah (peace and blessings of Allah be upon him) said: "Whoever believes in Allah and the Last Day, let him not enter the bathhouse except with a lower garment (izar). Whoever believes in Allah and the Last Day, let him not allow his wife (or female relative) to enter the bathhouse. Whoever believes in Allah and the Last Day, let him not sit at a table where wine is being drunk. Whoever believes in Allah and the Last Day, let him not be in seclusion with a woman who has no mahram with her, for the third of them is the devil."