As far as I know, once it is deleted on Facebook, a message is gone. However, there is a chance that the message was archived instead of being deleted. Click on “Messages” on the left side of your home page, then enter the name of the person whose message you want to search for. Also, you can click on MESSAGES>MORE>ARCHIVED to see all of your archived conversations and try to find it that way.
Good luck, hopefully your message was archived instead of deleted!