The prophet said, "There is a prayer between the two Adhans (Adhan and Iqama), there is a prayer between the two Adhans." And then while saying it the third time he added, "For the one who wants to (pray).  

قَالَ النَّبِيُّ ﷺ بَيْنَ كُلِّ أَذَانَيْنِ صَلاَةٌ بَيْنَ كُلِّ أَذَانَيْنِ صَلاَةٌ ثُمَّ قَالَ فِي الثَّالِثَةِ لِمَنْ شَاءَ