To report a message you have gotten, go to the profile of the player that sent you the chat, tap the (!) icon in the right top corner and tap Report.
After pressing Report, a list of reasons appears. Choose the reason you find is fit and report.
If you also want to block the player to prevent them from sending you more messages, go again to the (!) icon and tap Block.
When you have blocked a player they will not be able to message or challenge you and you will not see them anywhere in the game again.