There is no way to unsend messages on both sides. The only way to do so is to delete the message from your phone’s history.
To delete messages from your own account, go to the Instagram app and select the message you want to delete. Tap on the “X” next to the message and confirm by tapping “delete.” To delete messages from someone else’s account, go to their profile page and tap on “message.” Delete the message as you would if it were from your own account.