It is narrated from Abu Hurayrah (may Allah be pleased with him): I heard a man asking the Messenger of Allah (peace and blessings be upon him): "May one of us pray in a single garment?" The Messenger of Allah (peace and blessings be upon him) said: "Does every one of you have the means for two garments?" Abu Hurayrah (may Allah be pleased with him) used to say: "I would leave my upper sheet on the peg and pray wrapped in a single garment."
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الصلاة / 3278