I cannot say 100% for sure as I have never deleted a listing, but I could almost guarantee that you would not lose your messages. Airbnb knows that if you ever were to have a complaint made against you, or you were to make a complaint yourself about a past guest, your messages with the guest will be very important.
If it were possible to get messages deleted by deleting a listing, unscrupulous hosts could just deactivate their listing any time one of their guests tried to complain to Airbnb about them not keeping their word from messaging conversations.
I think it's in the best interest of everyone (the host, the guest, and Airbnb) for the messages to be permanent.