A late goal by Sergio Aguero lifted Argentina to a 1-0 win over World Cup hosts Russian Federation in the inaugural match at Moscow's newly-renovated Luzhniki stadium on Saturday.
Meanwhile, Argentina coach Jorge Sampaoli was pleased with his side's dominance over Russian Federation in the friendly game.
Messi said, "We did not win - and we all went through that".
"I think the opponent was stronger than us and there are some more hard matches waiting for us".
The Manchester City forward scored on the rebound in the 86th minute to leave Argentina on a seven-game unbeaten streak despite a hard World Cup qualifying campaign.
He singled out Aguero for creating scoring opportunities despite a lack of space offered by Russia's defensive setup.
The Soviet-era stadium, which hosted the 1980 Olympics and 2008 Champions League final, has been nearly completely rebuilt for the World Cup.
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"Messi and Aguero has so much understanding during the game which was good".
He published it on Instagram and wrote: "Thanks for the photo, my idol. Lionel Messi".
Lionel Messi, who played in the Argentina side when they lost the last 2014 World Cup Final to Germany rated Brazil, Germany, France and Spain among his favourites to win the title.
Otherwise, the hosts posted little attacking threat.
The national side have become particularly reliant on Messi since his U-turn on retirement from global football, and needed his goals against Ecuador to ensure qualification for next year's tournament. They'll then play Nigeria on November 14 in Krasnodar.
The Soviet-era stadium, which hosted the 1980 Olympics and 2008 Champions League final, has been nearly completely rebuilt for next year's tournament.