For iOS : Open Settings > Location Services. Turn OFF location for Facebook Messenger.
For Android : You can deactivate the option for location sharing service from your Facebook Messenger app. Hit on menu icon > Settings > Location Services. Then uncheck the box which enables location sharing for the Facebook Messenger app.
When you disable location sharing, you don’t need to deactivate location sharing every time you enter into a conversation. And if you happen to have second thoughts and would like to start sharing location with your friends then follow the same procedure and enable your location sharing option.