Hi Flo,
There are places to look and things to try but Eric might be right in the long run.
Open Finder window and use the Go Menu whilst holding down the ALT key.
Select the Library that appears and navigate to Messages.
The three chat.db items are where the iMessages are stored.
They could be blank (Try Opening With TextEdit).
They are not the most user friendly when viewed in TextEdit but it will let you see the content.
IF the Finder window is in Cover Flow mode then the Modified Column can be displayed (Finder > View Menu > Show View Options) and this may give clues as to when these files were updated.
If they are blank it would be unusual but you might ( I stress Might) be able to replace them with ones from a Time Machine Back up.
Before you do that check you Own the files.
Right CLick each one and choose "Get Info"
In the Panel that shows scroll to the bottom.
Your short name should be there and your should have Read and Write permissions.
You should Own the files as well and to check you have to Unlock the Padlock and then use the cogwheel type icon.
The phrase "Make yourshortname (Me) the Owner" should be greyed out to show you Own it.

If you "Save on Close" any Chat (iMessages, Bonjour, AIM, Jabber and/or Yahoo) are saved to ~/Library/Containers/com.apple.iChat/Data/Library/Messages/Archive where they are in dated folders.
Again the Modified Column should help pin down if the content has been changed (you need to be looking at the last level folder as opening a file manually also changes the date of the containing folder).

If these appear to be missing then you could try replacing them from a Time Machine backup.
The reason I am sceptical about whether it works is the app runs a process that "updates" the links to these files when it is updated.
This means at Upgrades and when you restart the app again for the first time and on the occasional Updates Messages has in some OS X Updates.
There is no easy answer to this and as Eric says it still might not work.

7:16 pm Friday; September 2, 2016
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