Use the Actions menu in the Messages section of your Facebook account to mark a message as unread. The message, however, displays as unread only in your account. Unless you install a third-party plugin, the sender is still notified when you initially read the message.
Marking Messages Unread on the Facebook Website
Step 1: Sign in to your account and click the Messages tab along the left of the screen. If the Messages tab is not visible, click the Facebook icon in the top-left corner of the screen to make sure you're viewing your Timeline.
Step 2: Select the conversation containing the message you want to mark as unread. Conversations are listed along the left of the screen and are displayed chronologically, with the most recently conversations first.
Step 3: Click the Actions menu to display a list of changes you can apply to the conversation.
Step 4: Select Mark As Unread to make the read message appear unread.
Marking Messages Unread in the Facebook Messenger App
In the official Facebook Messenger app for mobile devices, marking messages as unread works slightly differently. Press and hold the conversation you want to mark as unread until a pop-up menu appears on your screen, and then tap Mark As Unread.
When you first read a message, Facebook displays a check mark and a "seen by" note in the Messages thread, informing the sender that you've read the message. There is no native method in Facebook to prevent this from happening. However, a third-party plugin is available for the Google Chrome browser that prevents a message's sender from being notified that a message has been read. Download and install the Facebook Unseen plugin from the Chrome Web Store to activate this feature when using Facebook in the Google Chrome browser.