The Barcelona star coolly slotted home a penalty to break the deadlock in the 17th minute before adding two more goals in eight second-half minutes at La Bombonera, ESPN reported.
Messi then turned provider, setting up substitute Sergio Aguero for the final goal with 21 minutes remaining.
"I want to thank all the fans that supported us tonight," Messi told TyC Sports after the match.
"More than the result we were able to say goodbye to our fans and enjoy their support. I really appreciate all the love from our fans.
"We are not going to the World Cup as favorites but we are a great team with players ready to fight against anyone. This group of players have been together for a long time and we really want to go for an important title.
"We are going to Russia with all the enthusiasm. We will put all what we have on the field as our fans always ask. We are the first ones who want to accomplish the dream of winning the World Cup."
Argentina along with Iceland, Nigeria and Croatia form Group D at the 2018 FIFA World Cup in Russia where Messi and his teammates play their opener against Iceland on June 16.