Messages in your Message Centre will expire after one year, unless you have moved them into a custom folder. You will also only be able to keep 10,000 messages of a specific type at a time. So for example, you can have 10,000 deviations and 10,000 comments and 10,000 journals at any given time. Once you go over this limit the oldest messages will automatically be removed to make room for new messages.
To learn more about your Message Centre and creating custom folders please see http://help.deviantart.com/1/