I don't know why facebook have not given easy export features, so we have to think outside the box for such solutions. There are different ways to approach it. I used a few of such methods to export it which I will explain below:
(Solution 1)
Via Facebook.com (Official Method)
(By WasiqJaved@gmail.com)
(Solution 2)
Via CellPhone
I also once used "Exporter for Facebook - Backup,Print,Export PDF" app. It's very easy to use, but it may have more features in in-app purchases (in-app cost £4.29 per item)
https://play.google.com/store/apps/details?id=com.gilapps.facebookexporter
(By WasiqJaved@gmail.com)
(Solution 3)
Via Google Chrome Browser Extension "Message Saver for Facebook"
(By WasiqJaved@gmail.com)