Well, that depends on the method you use to send your messages.
If you use the send method, your message is never saved to any database. The message only exists in the server's memory while being relayed to the channel subscribers. As soon as it's delivered to all the currently connected subscribers, it's deleted from the server's memory and there's absolutely no way of retrieving it again.
However, if you use the publish method, your messages will be temporarily saved (maximum 72 hours) in a global distributed database, so they can be delivered later to subscribers that didn't get them at the moment they were published.
You can learn more about the Realtime message delivery modes at http://messaging-public.realtime.co/documentation/starting-guide/delivery-modes.html