Just mark the conversation as Unread.
Mark Facebook Messages as Unread
Facebook Website
Open Facebook in your favorite browser on your desktop or laptop computer. Then:
1. Click the Messages icon in the top right corner of any Facebook screen to open a screen that displays the messages received recently from friends.
2. To the right of each person’s name, just beneath the date of the message, is a small circle. Click the small circle to mark the thread unread.
3. If you don’t see the message thread you are looking for, click See All in Messenger at the bottom of the screen that lists your recent messages.
4. Click on any message thread to display a gear and the messages in the thread. Click the gear to bring up a drop-down menu.
5. Select Mark as Unread. Other options in the gear drop-down menu include Mute, Archive, Delete, Mark as Spam, Report Spam or Abuse, Ignore Message, and Block Messages.
Messenger Mobile App
Facebook separated the Facebook mobile app into two apps: Facebook and Messenger. Although you can receive a notification in the Facebook app when you receive a message, you need the Messenger app to read and reply.
1. Open the Messenger app on your mobile device.
2. Touch and hold on a conversation you want to mark unread to open a pop-up menu.
3. Tap More.
4. Choose Mark as Unread. Other options in the menu include Ignore Messages, Block, Mark as Spam, and Archive.