Valverde is potentially facing the sack despite retaining the La Liga title and leading them to the final of the Copa del Rey.
Despite continued success on the domestic front he has failed time and again in the Champions League and could pay for that with the sack.
After leading Liverpool 3-0 after the first leg of the semi-final this season, Barca fell to a 4-0 defeat in the second as they were sent crashing out in spectacular style.
Valverde’s side also threw away a three-goal first-leg lead in last season’s quarter-final against Roma.
However, Messi says it is the players who should shoulder most of the blame.
“I think the coach has done an impressive job,” he said.
“I think in that elimination against Liverpool, he is practically blameless. We are the only ones to blame for that match.
“It was unfortunate the match we played, the image we left behind.
“That happened two years in a row, that we missed out on the Champions League final. The truth is what happened cannot be allowed. We were playing a final.
“He will be as guilty as everyone else in the locker room but the ones who [are most guilty] are us.”
Messi also claimed he wanted Valverde to stay as manager despite their setbacks on the continent.
“I would like [Valverde] to continue,” the Argentine added.
“You may like it or not, but as we play this year we can win another double. But this is a very big spot.
“In these two years, two games were lost. It is true that they tainted us but beyond that, the rest was good.”
Barca will face Valencia in the Copa del Rey final on Saturday night and another loss could spell the end for Valverde whatever Messi thinks.
“I do not have to think about whether to make changes or not,” Messi said.
“We are all disappointed and very much, but it’s not my turn to say [whether or not there will be changes].
“Not winning this final would be much worse than we are now, we have to finish well and think about that.”