This “word” is not found in the Gospels. Perhaps Paul is referring to an oral tradition or to a special revelation. Paul assures the readers that they can dismiss their fears. He refers to the authority of the Lord himself. What he is telling the Thessalonians is in accordance with the words of Jesus.
15 For this we declare to you by a word from the Lord, that we who are alive, who are left until the coming of the Lord, will not precede those who have fallen asleep.