Ash-Shaykh Saalih al-Fawzaan, may Allah preserve him, said:
“It is prohibited to leave the Masjid after the Adhan without having an excuse or having an intention to return and if the one making the Adhan begins the Adhan while the person is sitting then he should not stand but rather he should be patient until he finishes (the Adhan) in order that he may not imitate the Shaytaan (check: Muslim:: Book 4: Hadith 751).”
Reference: al-Mulakhas al fiqh-hi, (1/73), print Ibnul Jawzee.
Also this is the same opinion of al-Imaam Abu Bateen, one of the great scholars of Najd, as found in the book ad-Durar as-Saniyah for the scholars of Najd.
~ Abu Fajr AbdulFattaah bin Uthman