Sahih Muslim Book 41, Hadith Number 6995.
Abu Sa’id Khudri reported: Ibn Sa’id said to me something for which I felt ashamed. He said: I can excuse others; but what has gone wrong with you, O Companions of Muhammad, that you take me as Dajjal? Has Allah’s Apostle(may peace be upon him) not said that he would be a Jew whereas I am a Muslim and he also said that he would not have children, whereas I have children, and he also said: verily, Allah has prohibited him to enter Mecca whereas I have performed Pilgrimage, and he went on saying this that I was about to be impressed by his talk. He (however) said this also: I know where he (Dajjal) is and I know his father and I mother, and it was said to him: Won’t you feel pleased if you would be the same person? Thereupon he said: If this offer is made to me, I would not resent that.