It goes back to Jerry Nixon, a Microsoft developer that said 2015 on the Microsoft Ignite conference in Chicago

“Right now we’re releasing Windows 10, and because Windows 10 is the last version of Windows, we’re all still working on Windows 10.”

and talking about “Windows as a service” in the future. That started this rumour. And the press went like "MICROSOFT DECLARED!..". Just that it never did.

What Microsoft later said was

"Recent comments at Ignite about Windows 10 are reflective of the way Windows will be delivered as a service bringing new innovations and updates in an ongoing manner, with continuous value for our consumer and business customers," ... "We aren’t speaking to future branding at this time, but customers can be confident Windows 10 will remain up-to-date and power a variety of devices from PCs to phones to Surface Hub to HoloLens and Xbox. We look forward to a long future of Windows innovations."

There was never a single word explicit saying that Windows 10 will be the last. Only that the future may be "as a Service".

Its hard to link a single source for all that, but e.g. Forbes covered it back then: https://www.forbes.com/sites/gordonkelly/2015/05/08/microsoft-windows-10-last-windows/