Well the very first lines of Herodotus' "The Persian Wars" 440b.c. says this:

"These are the researches of Herodotus of Halicarnassus, which he publishes, in the hope of thereby preserving from decay the remembrance of what men have done, and of preventing the great and wonderful actions of the Greeks and the Barbarians from losing their due meed of glory; and withal to put on record what were their grounds of feuds."

So that's clearly a message to the future. Thucydides says something similar about analysis of events.

But it could be argued that all art is also a message to the future. The Iliad, the epic of Gilgamesh, Egyptian mythology are works of art that have deep philosophical questions and answers within. To go even further back in time, some cave paintings could've been made out of boredom or experimentation ( dots patterns of prints etc) but there are some that clearly depict "a scene" or multiple scenes conveying a story.