If you have been notified of a new message but cannot find the message in your Inbox, Favourites, or Archived folders, the person who sent the message is no longer advertising on site.
When someone chooses to deactivate their account or the support team removes them from the site. Any messages they have sent are automatically removed from your inbox.
This is done to ensure no one is replying to people who are no longer looking for a match or are not valid users.
Also see, How do I recognize an online scammer?