How to retrieve lost voice message on cell phone.

If you are talking about recovering voice memos from an iPhone ,check out Leawo iOS Data Recovery. It can directly recover your deleted or lost voice memo from your iPhone. No backups needed. Here's a tutorial on how to recover voice memos from iPhone using this program. Hope it helps. How Can Recover Deleted Voice Memos from iPhone 6

Check if you have iTunes or iCloud backup of your iPhone first, if you have either of them, try to recover deleted text messages on iPhone with previous backup.

iTunes and iCloud will automatically back up your iPhone even if have not done it manually:
iCloud automatically backs up the most important data on your iPhone on a daily basis as long as your device is:
Connected to the Internet over Wi-Fi
Connected to a power source
Screen locked
iTunes can create backups of your iPhone automatically when you sync with iTunes (disabled if you have iCloud backup turned on).

Still haven't found your iPhone backup? These are still other methods to recover deleted texts on your iPhone with iPhone Data Recovery.

You can use This iPhone Data Recovery-- iPubsoft iPad iPhone iPod Data Recovery to recover lost data from iphone,it can recover 12 Types of File like Contacts, Messages,Photos, Videos, Camera Roll, Photo Stream, Photo Library, Message Attachments, Call History, Calendar, Notes, Voice Memos, Reminders and Safari Bookmarks. How to Recover Deleted Voice Memos on iPhone 5 4S 4

How to Recover Voice Memos from iPhone/iPad/iPod Touch?
http://www.swesoft.com/recover-data/Recover-Voice-Memo-from-iPhone.html
only 3 steps to get them back.

Though iPhone uses quite a different storage mechanism, still you can recover deleted or lost data (such as text messages, voice mail, contacts, photos etc) with a third party specific iPhone data recovery software called Tenorshare iPhone Data Recovery. I used it to recover deleted voice mails from iPhone 4s and it worked.
You can give it a shot! Download it from http://www.any-data-recovery.com/product/iphone-data-recovery.html

Here is a tutorial to guide you recover your voice mails:
How to Recover Deleted Files from iPhone
Good luck!

I called my voicemail today for that and there was an option at the beginning of the call to my voicemail. You have to call your phone number hit # or * then type in your 4 digit code. You know like back in the day with the other phones.