No. 11 made the announcement after the first period of the Rangers game against the Lightning.
A Hall of Famer and six-time Stanley Cup champion, Messier ranks second behind longtime teammate Wayne Gretzky on the NHL career scoring list with 1,887 points. He is seventh in goals and third in assists.
Messier played his final game with the Rangers on March 31, 2004 and officially announced his retirement on Sept. 12, 2005 -- after the NHL lockout.
The Winter Classic alumni game will take place Dec. 31 at Citizens Bank Park.