If those messages were sent through Ebay, you can report them directly from the message.
There are three dots at the top of every message.
As it is somebody you have been in a transaction with you can report them here.
You can report a seller using the button below.
Report a seller
You also need to open an 'item not received' case so you can get a refund.
If they sent that message to your phone, make sure you block them and don't engage with them further.
"There are two ways to be fooled. One is to believe what isn't true; the other is to refuse to believe what is true.”
Søren Kierkegaard, Danish philosopher (1813 - 1855)