The Brazil superstar featured in a lethal front three alongside Messi and Luis Suarez at Camp Nou before joining Paris Saint-Germain in a world-record €222m move two years ago.
Reports of Neymar wishing to return to LaLiga have been frequent since then and an 'MSN' reunion was mooted during the close season.
But with Barcelona unable to put together a package to make the deal happen, Messi worried his old team-mate would end up pulling on the famous white shirt of their sworn rivals.
"I honestly thought that in this market, if he did not come here, he would go to Madrid, because I really thought he wanted to leave," five-time Ballon d'Or winner Messi told RAC1.
"He said it, he wanted to change, to leave Paris. I thought that Florentino [Perez, Real Madrid president] and Madrid would do something to take him away."
Barcelona still boast a plethora of elite forward options.
Messi is back to fitness after a calf problem delayed his start to the 2019-20 season, while Suarez came through a period of criticism to score four times in the space of eight days before the international break.
Big-money arrival Antoine Griezmann is still bedding in, although his fellow France international Ousmane Dembele must serve a suspension having been sent off for dissent during the 4-0 victory against Sevilla last time out.
In his report, referee Antonio Mateu Lahoz said Dembele told him he was "very bad, you're very bad" in response to Barca youngster Ronald Araujo being red-carded.
Like coach Ernesto Valverde, Messi was perplexed by the incident – mainly due to Dembele's lack of aptitude with the Spanish language – that means the winger is set to miss El Clasico at Camp Nou later this month.
"It is very difficult for him to be able to say that because it is difficult for him to put together sentences and speak well enough to speak clearly," Messi said.
"The coach supported him at a press conference. The truth is we were surprised that [the referee] understood it so clearly because Ousmane has a hard time speaking Spanish – although he makes himself understood and understands everything.
"It's difficult [to accept the referee] understood it so clearly. That's just the way it is."