Really? Messenger can't. Whatsapp can't. Snapchat can't. Zalo can't. GroupMe can't (maybe I could create a solo group chatin it?. I don't remember telegram having it. At some point app fatigue sets in and you don't want to install even more apps.
I'm not setting up a second account just to have something to send it to. Additionally the messages won't be available on my computer.
With conversations.im or other XMPP clients it is also possible to chat with yourself :-)
Slack and most XMPP clients can do this.
You can definitely chat with yourself in Messenger. (also Slack)
You can send yourself messages with iMessage and have them sync to your computer, if you use an iPhone and Mac. If you don't, then of course this isn't much of a solution, but that's how many people solve it.
Telegram allows you to chat and send messages to yourself. The search is decent and searches through the rich text description of links you sent too (so you can look for the title of a YouTube video despite having only sent the link).
Messenger can. Telegram can. Slack can. Signal can. Whatsapp can.