Argentina came up short in a final of a major tournament yet again after the Copa America Centenario defeat in a penalty shootout to Chile, after losses in the 2014 World Cup and 2015 Copa deciders.
For Messi, it was his fourth loss in a tournament final - having played in their 2007 Copa defeat to Brazil - with Argentina still without a major trophy in 23 years.
The Barcelona star said after the game that the final at MetLife Stadium was set to be his last in an Argentina shirt.
"The decision is already made. That's it," Messi said.
"I have tried a lot. It's what I am feeling right now. I'm very sad this is happening again.
"I have missed my penalty. It was very important. That's it."
Messi, 29, who recently broke the nation's all-time scoring record with his 55th international goal, added: "In the locker room, I thought that the national team is not for me.
"It's four finals, it's not for me. Unfortunately we tried, I tried, but that's it.
"It's for the good of everyone. We were not satisfied with making the final and not winning it.
"I've tried a lot to be champion with Argentina. It didn't happen, I couldn't do it."
Reports have since surfaced that Messi, Mascherano and Aguero will be joined by the likes of Gonzalo Higuain, Angel Di Maria and Lucas Biglia in walking away as trouble between the playing group and the Argentine Football Association appear to reach breaking point.
"There are various players who are evaluating not to continue with the national team," Aguero told reporters post match.
"It is the worst dressing room I've ever been involved in. Worse than the World Cup final in Brazil and the other Copa America."
It has been 23 long years since Argentina last won a major tournament – the 1993 Copa America.
In that time, Argentina have finished runners-up on five occasions, with Messi involved in four of those narrow misses – the 2007, 2015 and 2016 Copa Americas and the World Cup two years ago.
Meanwhile, Aguero said he has never seen Messi as broken as he was after the latest loss.
"But it's hard. Once again luck has gone against us.
"Unfortunately, the most broken one is Messi for his missed penalty. It is the worst I have ever seen him in change rooms after the game."
Argentina goalkeeper Sergio Romero believes Messi's comments were made in the heat of the moment but does not think he will follow through in walking away.
"I think Leo spoke heatedly, because we've let a good opportunity escape," Romero told reporters.
"He has the same thoughts as us."