No simple way; I guess most people are happy with iCloud being the “archive”. Here are a few thoughts, but not an actual answer I’m afraid.
For just text, select all and paste into a text editor.
For pictures as well but stored as a PDF, do File > Print
Get the actual files that Messages uses: go to ~/Library – see this website
Getting anything back into Messages might be tricky but might work if you fiddle with the files in ~/Library – someone on StackOverflow had a go and it doesn't look like they got very far, but this is probably a good starting point if you want to put lots of effort in and have enough technical skill/confidence.