Messi and Argentina have suffered heartbreak in three consecutive major global finals: the 2014 World Cup and the 2015 and 2016 editions of the Copa America.
"I've cried many times for lost finals", the five-time Ballon d'Or victor said.
"We think that if we don't do it, we are going to get a lot more [criticism] and we are not going to have another possibility", Messi told La Cornisa TV.
Argentina star Lionel Messi said the upcoming World Cup in Russian Federation is the last chance for the nation's current group of players to win a World Cup.
The five-time Ballon d'Or victor claims that results have to come no matter how they well they play. "It seems like having reached three finals doesn't help us at all", he added.
"It's awesome, people are telling me they want us to win, but I try to live day to day and not think too much". "To win a World Cup is very hard and we came so close to achieving that dream".
Messi's nation has been drawn alongside Iceland, Nigeria and Croatia in Group D at Russian Federation 2018.
"I hope that he can catch Messi in La Liga, it's important for him [Ronaldo] and for us", Real Madrid coach Zinedine Zidane said.
"To win a World Cup is not easy".
Lionel Messi is aiming to win his first major trophy with Argentina. "The truth is that it has struck me, that in any part of the world they are waiting for Argentina to become the champions and for it to be given to me, it is impressive".
"I try to move the team from another position". Being so close last time, the Argentinean contingent will be well aware that this may be the last time they have an actual chance to win the tournament.
Three of those came over the course of a 4-1 aggregate victory against Chelsea in the last-16 of the Champions League that concluded with a 3-0 win at Camp Nou this week, where Messi also supplied a wonderful assist for Ousmane Dembele. "I always try to think about what I say in order not to generate controversies".