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The seven-time Ballon d'Or winner has only scored seven times for PSG since arriving from Barcelona last summer.
He had the chance to put Mauricio Pochettino's side ahead in the first leg of their Champions League last 16 clash on Tuesday evening, but Courtois got down low to save his spot kick.
Messi hasn't scored past Courtois since he became 'Los Blancos' number one and the Belgium international spotted a trend in his deadliest foe.
"Obviously he shoots a lot of penalties, so it's hard to guess right," Courtois explained on BT Sport.
"He missed a few on this side, so I think it was obvious he was going to the left. Maybe to the middle, he scored one against Leipzig. I just said 'okay, we'll go left', and I had a good save."
Messi has found it hard to have an impact in Paris after being the focal point of Barcelona for most of his career.
His poor run against Madrid continues too, having not scored or registered an assist against the Spanish giants since 2018.
It was Kylian Mbappe who proved to be the match winner after a magical strike in extra time.
Neymar's backheel sent Mbappe on his way, who cut inside to leave Lucas Vazquez and Eder Militao in the dust.
Mbappe coolly slotted past Courtois, with held from a deflection off Federico Valverde.
Madrid didn't register a single shot on target in 90 minutes and looked set up for a draw at the Parc des Princes.
Courtois continued: "We started well enough but we perhaps weren't calm enough on the ball and suffered because of that, not countering well enough.
"We lost a stupid ball, Kylian Mbappe skips by two and manages to get the ball under me. It's tough to take but we didn't play well.
"Our gameplan doesn't change all that much being one down – we need to win to go through. Hopefully, with the fans behind us, we'll do just that.
"In these kind of games you know, as a goalkeeper, you're going to have quite a bit to do. I'd studied Lionel Messi's penalties a lot and I tried to play with him when I was on the line. You've also got to have that little bit of luck, too."
Carlo Ancelotti will be without Ferland Mendy and Casemiro in next month's second leg due to suspension.
Casemiro asked his manager if he should purposely get booked in the last group stage game, to ensure he wouldn't be suspended in the knockout stages.
Ancelotti rejected the 29-year-old's offer however as Madrid were still in a battle to secure top spot.
Featured Image Credit: BT Sport & CBS Sports
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