These files are stored in OneDrive for Business of the person who originally shared it inside a folder named Microsoft Teams Chat Files. 

If you go to the Files tab, you can see who shared it (Sent by column). 
That person will need to re-add each file using the following directions:

1. Go to the Files tab
   
   
2. Click Share
   
   
3. Select OneDrive
   
   
4. Click on the Microsoft Teams Chat Files folder
   
   
5. Select the appropriate file
   
   
6. Click Share
   
   
7. Repeat 2-6 for all files shared by you in that chat
   
   
8. Repeat 1-7 for all appropriate chats