Insurance coverage for massage therapy varies greatly from company to company. It also varies from state to state, so a company covering massage in Washington State (where it is mandated to be covered) may not cover it in New York. It also depends on why you are getting massage. Massage may be covered if you have a claim in for worker's compensation becasue of an injury. It can also be covered by your automobiles insurance if you are in an accident and a doctor recommends massage therapy as a part of your recovery program.
WIth the implementation of the Affordable Care Act, massage therapy may be included in some programs.
In short, there is no definitieve yes or no answer. You must contact your insurance company to find out if your insurance plan covers massage therapy.