The messages app isn't on my Mac (Yosemite)
Since Messages.app comes bundled with OS X, it seems that it got deleted somehow.

To get the Messages app again (or any other pre-installed OS X app that is not available on the App Store), you will have to re-install OS X. The process does not erase any data.

Alternatively, if you know someone who has the same OS X, you could copy Messages.app from their machine and paste it in your Applications folder.