Sayyiduna al-Mughirah bin Shu'bah (may Allah be pleased with him) said: No one asked the Prophet (peace and blessings be upon him) about the Dajjal more than I did. He (peace and blessings be upon him) said: "What will you do? He will not harm you." I said: Shall I not kill Ibn Sayyad? He (peace and blessings be upon him) said: "What will you gain by killing him? If he is the Dajjal, you will not be able to kill him; and if he is not the Dajjal, what benefit will you have in killing him?"
Hadith Referenceالمعجم الكبير للطبراني / باب الميم / 18072