When you search for messages with the Message Audit Logs, the search results only return information for the past two days.
Two days is the default Message Audit Log retention period configuration.
You can increase the retention period beyond the default two (2) days, but it can result in performance or disk space issues as indicated in the documentation: About message audit logging
For storage retention above the default configuration of two days, it is highly recommended to utilize the remote logging feature (Monitoring logs on a remote server). Remote logging will allow storage periods that are not limited by the Messaging Gateway limitations and allows for much more robust log analysis using features of your SIEM (Security Information and Event Management) or syslog logging utility.
You can also utilize the newly available REST API to programmatically query the Message Audit Logs within the log retention period and store the results however you like for future access. However, this is a much more advanced option and requires that you to design your own data storage and processing applications. More information is available here: About REST APIs