Argentina ended a 28-year trophy drought in 2021 when they beat Brazil in the Copa America final and they qualified for this month's tournament in Qatar undefeated.
Lionel Scaloni's side are now unbeaten in 35 games -- dating back to 2019 -- a run which has seen them picked by many to go all the way at the World Cup, which starts on Sunday when hosts Qatar play Ecuador.
"All national teams are tough to play against these days," Messi told Universo Valdano when asked about Argentina's chances. "Every team [at the World Cup] will be difficult to beat.
"We have not had many games against European teams [in our unbeaten run], although they don't like playing against us either -- playing against South American teams is tough as well.
"We are in good form going into the finals, but we can't fall into trap of believing the hype that we are favourites and will win it. We have to be realistic and go step by step."
World champions France and Brazil are also among the favourites and Messi agreed they could be the teams that pose the biggest threat to Argentina's chances of success.
"France are good," he added. "They have some players injured, but they have a scary amount of potential in the squad. They have top players and a coach [Didier Deschamps] that has been there for a while with the same group and already won last the last World Cup.
"Brazil also have a core of players with a lot of quality, especially in the final third where they can beat men, they have good No.9s, Neymar.
"We have a good core, too, and players in good form as well. The injury to Gio [Lo Celso] was bad luck because he is so important for us, but others have come in. We are going to fight. That's the idea. But first, we have to focus on winning the opening game [vs. Saudi Arabia on Nov. 22]."
Prior to that game against Saudi Arabia, Argentina will face the United Arab Emirates in a friendly on Wednesday. Messi joined his teammates in Abu Dhabi on Monday, where thousands of fans gathered to watch them train at the Al Nahyan Stadium.
One supporter even tried to get onto the pitch to meet Messi as the Albiceleste trained, but the fan was quickly tracked down by security.
At 35, it's potentially Messi's last chance to win the World Cup after he said in October that this would be "the last one."
He helped Argentina to the final in 2014, where they lost to Germany, which was followed by back-to-back Copa America final defeats to Chile, the second of which led to Messi temporarily retiring from international football.
"If we had lost another final to Brazil [in 2021], maybe they would have criticised me again," Messi added of the detractors in his homeland. "Now we have managed to make it so that in Argentina it is not just about winning or losing.
"Journalism and people, in general, have changed how they view things a little. They also look at the journey."
As part of the wide-ranging interview with Jorge Valdano, who was part of the Argentina side that won the World Cup in 1986, Messi also spoke about working under Pep Guardiola. However, he did not speak about his future, with his contract at Paris Saint-Germain due to expire at the end of the season.
"It was an extraordinary era," Messi said of the four years spent working under Guardiola, who is now the coach of Manchester City. "Everything came together. Guardiola came in and taught us what he did and we had a unique generation of players.
"It was amazing to go into games knowing we would win whoever we were up against. Obviously, there were still defeats, painful ones, but we had that confidence.
"I regret not having enjoyed that era more. I regret not enjoying the day-to-day more, the training, how Guardiola prepared for games. All of it. It felt so easy, so natural that we were not aware at the time of what we were doing.
"With time, you realise that it was unique. In that sense, Guardiola did a lot of bad to football because everyone wanted to copy us. I have seen a lot of Guardiolas since and you realise what we did.
"Without a doubt, he is [the best coach I have had]. He has something special: how he sees games, prepares for games, how he communicates."