Why does messages say I have an unread message when I don't?

You can try asking Siri; " Read my unread messages".

There is one more thing:

Unknown Senders is a section in Messages to check.

I have been having this issue in MacOS Monterey and using Siri was the only way to solve this. I reset app, killall Dock, turned off/on iMessage and all forwarding options from phone to mac, signed out/in of iCloud, and unchecked/checked messages in iCloud. I even Control+tab through every single iMessage I had with no luck.

Siri worked immediately.

Heck of a suggestion! :) 👍