Direct  messages (DM) sent through Twitter can be unsent.
Here is how :
Login to Twitter and click on the envelope icon next to search box.
From the list of messages, click on the message that needs to be unsent. Hover the pointer next to message and click on the trash can icon that appears.
From the bottom of message, click Delete.
What this will do is delete the message from the sender’s inbox as well as the receiver’s inbox.
So if a message is sent mistakenly, it is best to delete immediately. However, this may not serve the purpose if the recipient of message is logged in to Twitter or has email notifications turned on as they will realize that a message was sent.
Prevention of course is better than cure. So double check the content of direct messages as well as Twitter usernames of intended recipients before sending them. 🙂
Happy DM-ing.