La Albiceleste are ranked fifth favourites with most bookmakers to lift the famous trophy in Russia this summer, behind only Brazil, Germany, Spain and France.
Messi was part of the Argentina side that finished runners-up four years ago in Brazil and, after netting a hat-trick in the midweek friendly win against Haiti, the Barcelona superstar is not entirely giving up hope of going one better this time around.
"I am very grateful to all the people, we always feel the affection of all, not like other times that we received insults," he told reporters. "We all go to Russia for the same reason, the World Cup is the dream of us, of the country.
"We are not candidates but we are very good, training and improving day by day. We have good players and we are getting stronger to fight as an equal with anyone.
"In a World Cup, logic is almost never given. We have to aim to win the first game, which is the most important because it will give us peace of mind. Let no one have doubts that we are going to try everything, as people always ask us.
"We are going with a great squad that is becoming strong at the team and individual level. We are facing a beautiful possibility and we are looking for that."
Argentina are next in action on Friday when taking on Israel, before beginning their World Cup campaign against Iceland on June 16.