The ominous Facebook exchange was not revealed to the jury in the High Court at Wellington, which on Monday found Preston guilty of Ms Fan's murder.
Preston, 60, stabbed Ms Fan 38 times in a frenzied attack in her Miramar home in November 2013, leaving the knife embedded in her neck.
He killed his estranged wife because of a custody dispute over the couple's two children, the Crown said.
One piece of evidence the jury did not hear was the Facebook exchange between Ms Fan and a friend in June 2013.
The pair were chatting about another woman who was also killed in Miramar.
"Maybe one day Michael crazy can kill me too," Ms Fan said.
"Nothing more was said, and it appears that the couple resumed living together for a period after the statement was made," a Court of Appeal judgment released to NZME News Service said.
The court ruled the message could not be included as evidence at the trial, after the High Court originally allowed it.
"We accept that Mei's words are accurately recorded, but the circumstances nonetheless do not suggest the statement is reliable. It is mere speculation during conversation on a related topic," the judgment said.
"The opinion of a lay witness about another person's mental state may be admissible in some circumstances, but there is nothing about this particular opinion to suggest that it is reliable; it is not obvious that she intended it to be taken seriously and 'crazy' is a colloquialism of uncertain meaning."
The Court of Appeal also decided a jury could attach more weight to the statement than it ought to and this could be prejudicial.
It did allow evidence, some of which was called by the Crown at the trial, about Preston's violent behaviour toward Ms Fan in China. The couple met and lived there until 2010.
One witness gave a statement speaking of fist fights and reconciliations. She once saw Preston corner Ms Fan with a cleaver, while another time Preston was sitting on top of Ms Fan with a knife pointing at her.
After Monday's verdict, Tani Hoyhtya, who said he'd been in a relationship with Ms Fan from early 2011 until her death, said he was "satisfied" with the verdict.
"This is a really important step in a very long process."
He would now wait to see how Preston was sentenced, Mr Hoyhtya said.
The police officer in charge of the investigation, Detective Senior Sergeant John van den Heuval said the verdict would be welcomed with great relief by Ms Fan's family and friends, in New Zealand and China.
"Our thoughts are with the children now who must grow up knowing their father murdered their mother. That's going to be difficult for them, but they are surrounded by people who, like Mei, love and care for them deeply."
- By Jimmy Ellingham of NZME News Service
