Srimad-Bhagavatam: Canto 10 - Chapter 1 - Verse 43-44

Sanskrit:

विप्रापत्यमचक्षाणस्तत ऐन्द्रीमगात् पुरीम् ।आग्नेयीं नैऋर्तीं सौम्यां वायव्यां वारुणीमथ ।रसातलं नाकपृष्ठं धिष्ण्यान्यन्यान्युदायुध: ॥ ४३ ॥ततोऽलब्धद्विजसुतो ह्यनिस्तीर्णप्रतिश्रुत: ।अग्निं विविक्षु: कृष्णेन प्रत्युक्त: प्रतिषेधता ॥ ४४ ॥

ITRANS:

viprāpatyam acakṣāṇastata aindrīm agāt purīmāgneyīṁ nairṛtīṁ saumyāṁvāyavyāṁ vāruṇīm atharasātalaṁ nāka-pṛṣṭhaṁdhiṣṇyāny anyāny udāyudhaḥ

Translation:

Not seeing the brāhmaṇa’s child there, Arjuna went to the cities of Indra, Agni, Nirṛti, Soma, Vāyu and Varuṇa. With weapons at the ready he searched through all the domains of the universe, from the bottom of the subterranean region to the roof of heaven. Finally, not having found the brāhmaṇa’s son anywhere, Arjuna decided to enter the sacred fire, having failed to keep his promise. But just as he was about to do so, Lord Kṛṣṇa stopped him and spoke the following words.

Purport:

Śrīla Viśvanātha Cakravartī comments that Arjuna trusted Lord Śiva implicitly as his guru, and so he did not bother to search out Lord Śiva’s celestial abode.