How do I retrieve messages on iPhone in Messages App?

Messages is not one of the apps you can delete. So, it's still on your phone somewhere. Go to the App Library, the page just past the last Home Page. Type "Messages" into the search bar. Press and hold on Messages. After a second or so, it should move to a Home Screen.

Check the "Filters" on the top left hand corner in Messages and see if the Messages are in Recently Deleted.