Chat messages of development teams play an increasingly significant role in software development, having replaced emails in some cases. Chat messages contain information about discussed issues, considered alternatives and argumentation leading to the decisions made during software development. These elements, defined as rationale, are invaluable during software evolution for documenting and reusing development knowledge. Rationale is also essential for coping with changes and for effective maintenance of the software system. However, exploiting the rationale hidden in the chat messages is challenging due to the high volume of unstructured messages covering a wide range of topics. This work presents the results of an exploratory study examining the frequency of rationale in chat messages, the completeness of the available rationale and the potential of automatic techniques for rationale extraction. For this purpose, we apply content analysis and machine learning techniques on more than 8,700 chat messages from three software development projects. Our results show that chat messages are a rich source of rationale and that machine learning is a promising technique for detecting rationale and identifying different rationale elements.