No it is not it sometimes is Archived in the certain chat that your using if you don't want it saved go to the settings or properties in your chat area and it should give you the option not to save or to save but it can't save to your hard drive
Is My Chat History Stored On My Hard Drive?
If you have selected the option to store history, it will be stored else no. In Yahoo, you have an option to archive messages. I'm not sure about other messengers.