they are not stored on your computer.
with facebook being the evil controlling overlord that they are;
facebook will keep a copy of absolutely everything you ever let them get their hands on.
if you want your message back after deleting it,
you can actually get it back off facebook.
So how do you go about that?
Account > Account settings > Download your information (learn more)
> *insert password* > *wait for email* > *follow link in email* > *wait for download to complete*
Little bit convoluted to get your message back,
but it will be there.
by doing this,
you are downloading *all* the info that facebook has kept of you.
So it will probably be a large file (50MB),
depending on how many photos and videos you`ve uploaded.