If you deleted the message yourself and the message is not too old, it may still be in your Trash Folder. Most messages seem to stick around for about three months or so before eBay deletes them.
If you are using the "classic" message format, the Trash Folder is here:
https://mesg.ebay.com/mesgweb/ViewMessages/5
If you are using the "new" message format, you may need to revert to the "classic" format to use the folders -- I do not think the "new" format supports folders yet.
