It is mentioned in the diary of John Colville, one of Churchill's aides during the war. Churchill was so mad he said he would make sure Rome was bombed.
Colville is a snob and a prig, but his diary contains many illuminating passages about Churchill, and also some inadvertently good insights into the British mentality during the war. Among other things, they have no idea of how much ground they have lost technologically, which slammed their economy in the following decades.
Another interesting moment came in February 1944, when Churchill mistakenly had the songwriter Irving Berlin to dinner, believing he had invited the philosopher and diplomat Isaiah Berlin. He kept pestering poor Irving with questions about his thinking about when the war might end. The great songwriter, no slouch himself, correctly predicted that FDR would run for a fourth term and win.
Also, on New Year's Day 1953, Churchill predicted that communism in Eastern Europe would end before the century did. Well played, sir.