Sahih BukhariVolume 5, Book 59, Number 600

Narrated Mujahid:

I said to Ibn 'Umar, "I want to migrate to Sham." He said, "There is no migration, but Jihad (for Allah's Cause). Go and offer yourself for Jihad, and if you find an opportunity for Jihad (stay there) otherwise, come back." (In an other narration) Ibn 'Umar said, "There is no migration today or after Allah's Apostle." (and completed his statement as above.)