From the official SOTU transcript:

Congress did not act last year on my proposal to save Social Security —
(applause) — yet the rising cost of entitlements is a problem that is not
going away. (Applause.)

Per Josh Marshall’s request for video, it’s at 35:07 in the C-SPAN footage (Real Player – if the link above doesn’t work, click the link on the C-SPAN homepage).