Messier is a special assistant to GM Glen Sather while Gretzky has been out of the league since he stepped down as coach of the Phoenix Coyotes.
I don't think Mess is going anywhere and will continue to work with Glen Sather, most likely with the idea that he will take over as Rangers GM at some point. Gretzky is interesting and there has been a lot written about him being out of hockey, but I don't see him taking on any sort of hockey role in the near future. At some point Gretzky will be back in the game, but he will do it on his terms and at his pace.
Watch a classic Messier and Gretzky commercial HERE.