The following expire after 5 days:

-Arena Rewards
-Coliseum Rewards
-Guild coins that you are awarded when someone in the guild makes a purchase

The following expire after 7 days:
-Invasion Guild Gifts, if claimed when there is no active invasion. Be sure to claim them during an invasion!

Other mailbox messages do not currently expire.

Any mailbox message older than 30 days will be auto-collected and the items delivered to your inventory.