I am interrupting the chat .
Click on finder > take cursor on top menu bar > Go > keep on holding option key and click on library .
Find a folder messages > move three fingers towards right on the track pad you will find Archive , here you will find the messages data , also in attachment .
Double click on the chat to open , or right click on it and click open .
Deleting this data is to be done when apple support senior care advisors recommends you Contact Apple for support and service - Apple Support
The old chats are occupying Macintosh HD space .

You can also click on apple logo > about this Mac > storage > manage > under recommendations in the side bar window if you see any messages .
Then click on review files > again select messages in side bar > large files > select them and click on delete .
Click on drop down arrow to see the size of messages .
This screen shot is just for an illustration , in fact in my Mac no messages are saved that's the reason they are showing empty .

Note : if you consult apple support advisors request them to refresh iCloud account data from their server end .