That's fine if you believe that. We all have our own beliefs because we have free will to decide what to believe.
Of course you would not believe that Baha'u'llah was a Messenger of God because you are a Muslim so you believe that Muhammad was the last Messenger.
I believe that Baha'u'llah was born as a Muslim and later when He was in the Black Pit Prison He received a Revelation from God:
A revelation from God - The Life of Bahá'u'lláh
After that He garnered a few followers and eventually the there were more followers and a new religion was established.