An online system communicates a lead generation message to a client device associated with a user. The lead generation message includes a selectable option authorizing a third-party entity to open a channel of communication with the user. If the online system receives from the client device an interaction with the selectable option, the online system sends a notification to the third-party entity indicating that the user associated with the client device interacted with the lead generation content item. The third-party entity may then send a request to the online system to send a message to the user via a messaging system controlled by the online system. The online system thus enables the third-party entity to communicate with the user via the messaging system. The online system then uses information about the communication to train a model to optimize the selection of lead generation messages to users.