I'm glad you asked. If I remember correctly, it was in 2008, before his first election, and I think he was in Toledo, Ohio (might be wrong about that). As I remember it, it was shortly after Obama spoke with Joe the Plumber. He (Obama) was being questioned by a fawning female reporter and he said "I believe that in bullshit, I really do..."
The discussion wasn't about Marxist by name, but he was speaking about Marxism/collectivism/income equality euphemistically.
I just did a quick search and came up with nothing. I don't know if the interweb has been scrubbed of that or if I am simply using the wrong key words. You might give it a try (search that is).
BTW, Obama's friends from Occidental said that he (Obama) was a hard-core Marxist. That's understandable if only because of his close relationship with
Frank Marshall Davis, who was a genuine card-carrying member of the CPUSA (his card number was 47544).