Not exactly, but a similar personal sentiment like this he is well known for.
Notably, this did not start with anything relating to the cold war (cf. Ian Klinke & Brice Perombelon: "Notes on the Desecuritisation of the Rhineland Frontier", Geopolitics, Vol 20, No 4, 2015. doi). He is said to have had this sarcastic attitude since the 1920s.
In Adenauer's "Rhenish world view", in his "conviction that Cologne lies in the middle of the Occident", the Harz was already Asia. As early as the 1920s, according to Baring, Adenauer confidentially stated that "for him, the Asian steppe begins at Braunschweig".
— "Wo Asien beginnt. Die Adenauer-Forschung läßt keinen Zweifel daran: Bonns Sozialliberale berufen sich für ihre Polen-Politik zu Unrecht auf das ostpolitische Konzept des Ahnherrn der Union", 01.02.1976, Der Spiegel, 6/1976. (translated from German)
The Baring reference is available at
— Arnulf Baring: "Außenpolitik in Adenauers Kanzlerdemokratie
Bonns Beitrag zur Europäischen Verteidigungsgemeinschaft", Schriften des Forschungsinstituts der Deutschen Gesellschaft für Auswärtige Politik e.V. / Internationale Politik und Wirtschaft, Volume 28 , Oldenbourg Wissenschaftsverlag, 1969. (doi, gBooks)
More links like that are numerous to find.
He obviously varied this from "Asiatic steppes" to sometimes things like 'beyond Kassel there's already Walachia' (in Romania, link), an obviously joking hyperbole. He is also known to have said that for him 'Asia starts when he reaches Magdeburg' (or really almost any settlement/landmark East of his home town).
Some proof that this is not only just often repeated and varied hearsay, he also wrote a version of this hyperbolic description on March, 16, 1946 in a letter to Wilhelm Sollmann in "Pendle Hill, Wallingford/Pennsylvanien" (a version of this letter was online here, but isn't archived, now in shortened version here):
Konrad Adenauer wrote to William Sollmann that ‘Asia stands on the Elbe’.
[footnoted reference as:
Konrad Adenauer, Briefe, 1945–1947, ed. Hans Peter Mensing (Berlin: Siedler, 1983), p. 191 […]
]
— Iver B. Neumann: "Europe’s post-Cold War memory of Russia: cui bono?", in: Jan-Werner Müller (ed): "Memory and Power in Post-War Europe. Studies in the Presence of the Past", Cambridge University Press: Cambridge, New York, 2002, p130.
This is nothing more than a slightly chauvinistic saying. Like a Floridian proclaiming that anything North of Georgia would be already Alaska/Canada. A notion perhaps not terribly unfamiliar to a few readers, if they remember this:

An early public advancement of 'Adenauer's idea' in this regard is also quoted by Hawes in his book (p147), and quoted also here: 1. Februar 1919 — Konrad Adenauer versucht, das Rheinland als Rheinische Republik von Preußen abzukoppeln (Konrad Adenauer tries to detach the Rhineland from Prussia as a Rhenish Republic) in German, from which when translated reads:
"After the experience Germany has had with the hegemonic state of Prussia, after the hegemony of Prussia has led to its collapse not by chance but as a necessary consequence of a system, Prussia's hegemony will no longer be tolerated by the other federal states …
In the opinion of our opponents Prussia is the evil spirit of Europe … Prussia, in their opinion, was dominated by a war-mongering, conscienceless military caste and the Junkerism, and Prussia dominated Germany, dominated also the tribes present in West Germany, which, according to their whole disposition, were in themselves sympathetic to the peoples of the Entente.
If Prussia were to be divided, and the western parts of Germany united into a federal state, the 'West German Republic', the domination of Germany by a Prussia dominated by the spirit of the East, by militarism, would thereby be made impossible; the dominating influence of those circles which had dominated Prussia and thus Germany up to the Revolution would be definitively eliminated, even in the event that they recovered from the Revolution!"
How this 'separatist' Adenauer-thinking was transformed, post-WWII, to equate Russia (and not PRussia) with 'Asia', and locating 'both' 'at the Elbe' is detailed as:
After the Second World War, the vision of 1919 had a completely different reality. As early as July 1945, Adenauer saw the Soviet zone disappearing behind an iron curtain. In October, the part occupied by "Russia … was lost to Germany for an incalculable period of time". But if Asia reached as far as the Elbe, this had to have consequences for the rest of Germany. Since the Prussian core areas were either under Polish administration or belonged to the Soviet occupation zone, the anti-Prussian justification of the earlier plans to found a state no longer applied. The threat from the East provided a decisive modification. When the French government began in 1945 to strive for the same goals on the Rhine as after the First World War - to make the Rhine a border, to establish a ring of satellite states, "Allemagnes françaises", and to bring the Ruhr region under French control — these plans did not meet with Adenauer's approval. Unlike French policy, which was merely the rehash of nationalist dreams, he had recognised the fundamental change in the situation in Germany and Europe and included it in his plans. "If one were to form a Rhine-Ruhr state detached from the other parts of Germany, the question would immediately arise as to what should become of the parts of Germany north and south of this Rhine-Ruhr state in terms of constitutional law. Russia, true to her imperialist tendencies, would immediately declare that the part occupied by her, that is half of the old Germany, was the old German Empire. The three dismembered parts of the non-Russian occupied zone would automatically strive for reunification with this Russian-occupied old Reich. They were turning their faces towards the East, not towards the West. It was necessary to keep the three parts of the non-Russian occupied area, which would be created by the creation of a Rhine-Ruhr state, in a state-law relationship to each other. It could possibly be federal.
— Henning Köhler: "Adenauer und die rheinische Republik. Der erste Anlauf 1918–1924", Westdeutscher Verlag: Opladen, 1986. (p278, translated from German)
Adenauer's quite hagiographical memorial website describes and explains this often repeated anecdote as:
Adenauer's intellectual distance from core Prussia is generally interpreted as a cultural aversion to the "East" in general. There are numerous stories about this, which have no documentary evidence but are only passed on orally, but which nevertheless belong to the established canon of Adenauer quotations: Behind Braunschweig, the Asian steppe had already begun for the Cologne mayor, in Magdeburg he had drawn the curtains of his train compartment, and when crossing the Elbe he had spit out of the window. As implausible as a literal interpretation of these anecdotes may be in part, it is quite possible that Adenauer, who sometimes flirted with his resentments, gave them birth himself: "He does not love Berlin," the French diplomat François Seydoux noted, "and makes no secret of it." In March 1946, at any rate, he demonstrably confessed before a large audience that he had always felt in Berlin as in a "pagan city". Although he credited the Berliners with "many valuable qualities", this was not a compliment coming from the Rhenish Catholic (more on the contextualisation of the quote below).
Take note that the most extreme version —clearly often attributed to Adenauer but not fully attested in sources, so as doubtful as anything— makes it clear that even the eastern bank of the Rhine makes for uncomfortable landscapes in his alleged world view:
Bolshevism begins in Deutz and Wallachia behind Kassel.
— (example source)