Regular languages and constant communication complexity
For $\Rightarrow$, you have "Communication Complexity", Eyal Kushilevitz in Advances in Computers, Volume 44, 1997 (http://www.sciencedirect.com/science/article/pii/S0065245808603423). 

You can also find a section "Communication Complexity and Chomsky Hierarchy" in the book "Communication Complexity and Parallel Computing" by Juraj Hromkovič where it is proven. It may be that $\Leftarrow$ is also proven somewhere in the book but I fail to find it here. The closest thing there seems to be is Exercise 5.2.5.2 but, it is only an exercise (see the whole Chapter 5 too, which extensively study finite automaton but I do not think it explicitly answers your question).

For what it is worth, the proof of both directions looks easy so I think that if you need it in a paper you can sketch it quickly: for $\Rightarrow$, take a finite automaton for $L$ and observe that it is sufficient for Alice to communicate the state she reaches after having read her part of the input. Then Bob finishes the simulation in the automata. For $\Leftarrow$, if you have a protocol bounded by a constant, then $L$ has a finite number of quotient $w^{-1}L = \{u : wu \in L\}$ which is a well-known characterization of regular languages.