SELECT t1.* FROM tsg_message t1 INNER JOIN (
SELECT chat_id, MAX(created_at) AS max_created_at FROM tsg_message GROUP BY chat_id
) t2
ON t1.chat_id = t2.chat_id AND t1.created_at = t2.max_created_at

$subQuery = Message::find()
            ->select(['chat_id', 'MAX(created_at) AS max_created_at'])
            ->groupBy('chat_id');
        $query = Message::find();
        $query->alias('t1');
        $query->innerJoin(['t2' => $subQuery], 't1.chat_id = t2.chat_id AND t1.created_at = t2.max_created_at');