First results of a search with the HEGRA air shower arrays for cascade photons at TeV energies correlated with the direction of the most energetic cosmic ray are presented. An extended excess with 4.2σ close to the direction of the most energetic air shower detected by the Fly's Eye group has been found. Taking into account the number of searches performed, the chance probability for this excess has been estimated to be 2.7%. Assuming an extragalactic origin of the highest energy cosmic rays and interpreting the excess as correlated with the source of the Fly's Eye event, an upper limit on the distance of the possible source of 28Mpc has been derived. To further investigate this excess a follow-up observation has been performed with the HEGRA Imaging Air Cherenkov Telescopes (FACTs). Analysis of the data is in progress and will be published in a forthcoming paper.