Reuben Fine, The Psychology of the Chess Player (Dover 1967), p. 53:
In 1935, an international team tournament was held in Warsaw. Alekhine played top board for France, of which he was a naturalized citizen. However, on this trip he arrived at the Polish border without a passport. When the officials asked him for his papers he replied: "I am Alekhine, chess champion of the world. I have a cat called Chess. I do not need papers." The matter had to be straightened out by the highest authorities.