The Colorado Avalanche signed Messier to a free-agent contract on June 14, 1995 and he played the entire 1995–96 season with the team's AHL affiliate, the Cornwall Aces. He got his call to the NHL in 1996–97, playing 21 games with the defending Stanley Cup champions. He also appeared in 55 games with the Hershey Bears of the AHL.
In 1997–98 Messier landed a full-time spot on the roster, dressing for 62 games for the Avalanche, scoring four goals and 16 points. A defenceman converted to forward, Messier missed the majority of the 1998–99 season recovering from an elbow injury. He returned to the Avalanche full-time in 1999–00, playing 61 games. He played in 64 games with the team in 2000–01 and helped Colorado win its second Stanley Cup in franchise history.
Messier went on to play two more seasons with Colorado before being dealt to the Florida Panthers in the summer of 2003. Upon his arrival with the Panthers, Messier would play a mere 21 games after he suffered a season-ending wrist injury.