פירוש על עבודה זרה 72:9

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.