you don't actually insert it anywhere, you just include the link in the message
if I wanted to 'attach' a long document, for example I would upload it to my Google Drive then get the 'share' link for it. In my PM I'd simply include the link to it so that the person I'm sending it to can click the link and go to the information.
Granted it isn't exactly attaching a file but it is one way of sending one along with (or inside) a message. I suppose you could use the
and have it say something other than just looking like a link