From Sahih Bukhari (Hadith 6118):
Narrated `Abdullah bin `Umar:The Prophet (ﷺ) passed by a man who was admonishing his brother regarding Haya' (pious shyness from committing religeous indiscretions) and was saying, "You are very shy, and I am afraid that might harm you." On that, Allah's Messenger (ﷺ) said, "Leave him, for Haya' is (a part) of Faith
Reference: Bukhari 6118