I am not sure that the forum software allows you to do so directly.
I would suggest asking the user not to message you anymore. If a user persists in messaging you afterward, you can flag the user’s private messages as inappropriate and a forum administrator may get involved.
Note that forum administrators may still message you about flags, warnings, and complaints, including complaints you make about other people or complaints other people make about you.
I hope another forum administrator can correct me if I’m mistaken.