If you are trying to restore the Mail program, you will get that response. Try opening the program, select a mailbox, and then enter Time Machine to attempt a restore. Before trying this, if there are currently any e-mails in that mailbox, go Mail/Mailbox/Export Mailbox to save the existing ones.
If that doesn't work, go to Finder and select your user/home folder. With that Finder window as the front window, either select Finder/View/Show View options or go command - J. When the View options opens, check ’Show Library Folder’. That should make your user library folder visible in your user/home folder. Select Library/Mail. You can look for your missing e-mails in that folder while in Time Machine.