ENOfficial
Bahz b. Hakim, on his father’s authority, told that his grandfather reported God’s Messenger as saying, "Cover your private parts, except from your wife or your female slave,” and said he asked him to tell him what a man might do when alone. He replied, "God has most right to modesty from you.” Tirmidhi, Abu Dawud and Ibn Majah transmitted it.
Source: sunnah.com
Other translations
Arabic
وَعَنْ بَهْزِ بْنِ حَكِيمٍ عَنْ أَبِيهِ عَنْ جَدِّهِ قَالَ: قَالَ رَسُولُ اللَّهِ صَلَّى اللَّهُ عَلَيْهِ وَسَلَّمَ: «احْفَظْ عَوْرَتَكَ إِلَّا مِنْ زَوْجَتِكَ أَو مَا ملكت يَمِينك» فَقلت: يَا رَسُول الله أَفَرَأَيْت إِن كَانَ الرَّجُلُ خَالِيًا؟ قَالَ: «فَاللَّهُ أَحَقُّ أَنْ يستحيى مِنْهُ» . رَوَاهُ التِّرْمِذِيُّ وَأَبُو دَاوُدَ وَابْنُ مَاجَهْ
sunnah.com