If you used the Camera 
button (or selected Media from the Add 
menu) to attach an image, the attached image is also deleted when you delete the message.
If you used the Attach option from the Add menu, the file you attached from your device was uploaded to your OneDrive. You can delete the message, and the file will no longer be visible in the chat or search results, but anyone in the chat will still be able to access it via the file's OneDrive share link. To stop sharing the file with members of the chat conversation (even after you have deleted the chat message), you can delete the file from your OneDrive or change the file's permissions in your OneDrive.
If you attached an event or task, the reference to the file will be deleted when you delete your message, but anyone in the chat can still access the item in the chat details.
If you used the Attach 
option from the message compose window, the file you attached from your device was uploaded to your OneDrive. You can delete the message, and the file will no longer be visible in the chat or search results, but anyone in the chat will still be able to access it via the file's OneDrive share link. To stop sharing the file with members of the chat conversation (even after you have deleted the chat message), you can delete the file from your OneDrive or change the file's permissions in your OneDrive.
