Commentary for Avodah Zarah 72:9
ישראל הבא על העובדת כוכבים הלכה למשה מסיני היא דאמר מר הבועל ארמית קנאין פוגעין בו
But [the prohibition against] an Israelite having intercourse with a non-Jewish woman is a halakhah from Moses from Sinai, for a Master has said: If [an Israelite] has intercourse with an Aramean woman, zealots may attack him!
Daf Shevui to Avodah Zarah
The final resolution is that there is an ancient law from Sinai that prohibits an Israelite man from having sex with a non-Jewish woman. We can see this from the story about Zimri in Numbers 25:6-8. But that was only in public, an act of open rebellion. In private this was not prohibited, until the rabbis came along and prohibited it there as well.
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