Sayyidah Hafsah bint Umar (may Allah be pleased with them both) narrates: One day the Prophet (peace and blessings be upon him) came to me, and he had moved his garment off his thighs. Sayyiduna Abu Bakr (may Allah be pleased with him) came and asked for permission to enter. The Prophet (peace and blessings be upon him) gave him permission and remained as he was. Then Sayyiduna Umar (may Allah be pleased with him) came and asked for permission. The Prophet (peace and blessings be upon him) gave him permission and remained as he was. Then some other people from among his Companions came, and the Prophet (peace and blessings be upon him) gave them permission. Then Sayyiduna Ali (may Allah be pleased with him) came. The Prophet (peace and blessings be upon him) gave him permission and remained as he was. Then Sayyiduna Uthman (may Allah be pleased with him) came and asked for permission, and the Prophet (peace and blessings be upon him) placed his garment over his thighs and then gave him permission. They talked for a while and then left. I said: O Messenger of Allah! Sayyiduna Abu Bakr, Sayyiduna Umar, Sayyiduna Ali (may Allah be pleased with them) and some other Companions of yours came, yet you remained in the same state and did not move; but when Sayyiduna Uthman (may Allah be pleased with him) was about to come in, you covered your thighs with your garment? The Prophet (peace and blessings be upon him) said: Should I not feel shy before one before whom even the angels feel shy?
Ahmad and al-Tabarani recorded it in al-Mu'jam al-Kabir and al-Mu'jam al-Awsat, and Abu Ya'la recorded it in a much abridged form. Its chain is hasan (good).
Hadith Referenceمجمع الزوائد ومنبع الفوائد / كتاب المناقب / 14503