Letter to Antoine Bibesco, [4 April 1903?]: "I left you at eleven o'clock and at eight o'clock in the morning you discover that after leaving you I had long conversations with Henry Gauthier-Villars, with Mme de Flers, with Henri Saillard, with Robert Gangnat, with Robert de Flers, with Robert de Rothshild [sic], with (and the best of it all is that none of these people was at the Folies Bergères!) with a whole lot of other people whose enumeration I will reserve in order to leave that scoop for Dominique." Corr. III, p. 284 and n. 3.: "Cardane must have refused Dominique's article about the Folies-Bergères, an article which did not fit in with the category of salons and which must have had too close a similarity to Serge Basset's articles in his Courier des théâtres column."
See also Kolb-Proust ID: c31220 where he quotes "The winter season has begun, there is nothing more to say. It was proved yesterday evening upon seeing the countless number of pretty women who were adorning the boxes in the Folies-Bergère. ...Apparently all the elegant people from the beaches and other watering places had returned to Paris to celebrate the Isola brothers." But see also Kolb-Proust ID: c28730 where he correctly attributes the same quotation to Le Figaro, 14 Sept 1902, p.4.
Whether Proust actually wrote his Folies-Bergères article is unclear and no evidence of it has yet emerged.