In Ubuntu it can be difficult to customize the indicator applet which by default contains the sound, battery, Bluetooth, and empathy icons.
If you don’t use empathy and want to remove the icon there is no simple option to change. Since this is a default indicator icon you must completely remove the indicator-messages package to make it disappear.
$ sudo apt-get purge indicator-messages
Once you have removed the package you can log out and back into your account to see the changes take effect. Alternatively you can remove the indicator-applet and then add it back to the Gnome panel.