Riyad Us-Saliheen (Gardens of the Righteous)

Chapter 358
Undesirability of Leaving the Mosque without offering Salat (Prayer) after the Adhan has been Proclaimed

1785. Abu Sha`tha' said: We were sitting with Abu Hurairah (May Allah be pleased with him) in the mosque when the Mu'adhdhin proclaimed the Adhan. A man stood up in the mosque and started walking out. Abu Hurairah (May Allah be pleased with him) stared at him till he went out of the mosque. Upon this Abu Hurairah (May Allah be pleased with him) said: Indeed, this man has disobeyed Abul-Qasim (PBUH).
[Muslim].

Commentary:  We learn from this Hadith that after hearing Adhan, one should not leave the mosque without offering the obligatory Salat connected with it, unless one has a very genuine reason for doing so.