Ata bin Yasar narrates from Sayyidah Aishah (may Allah be pleased with her) that she was with the Prophet (peace and blessings be upon him) under one blanket. I slipped away quietly, and the Prophet (peace and blessings be upon him) asked: "What is the matter with you?" I said: I have begun my menses. He (peace and blessings be upon him) said: "Tie your waist-wrap on, then come back in."
Hadith Referenceالسنن الكبرى للبيهقي / كتاب النكاح / 14083