Such an episode appears neither in Herodotus 6.109 ff (web address 1) nor in any other writer on the Battle of Marathon (490 BCE), from Ephorus to Plutarch. (Adler notes that Crusius attributed it -- on no discernible basis -- to the Attidographer Demon [FGrH 327].) Hignett (below) 65-6 insists that the story is demonstrably absurd. Others, in sharp contrast, take it as one of two items of reliable evidence (the other is Nepos, Miltiades 5.3) that the Persians had re-embarked their cavalry in preparation for sailing to Athens and attacking the city before the Spartans could arrive; Miltiades got wind of this, and attacked. For this see Rhodes (below) 4.
Such a 'proverb', in any event, appears only here, i.e. not in any of the paroemiographers; and the headword phrase itself is otherwise attested only once and with a different sense (Procopius, History of the Wars of Justinian 8.13.14).
[1] cf. delta 89.
[2] cf. mu 1067, mu 1068.