I've just got Nokia N9, and I'm currently using Android phone. I want to transfer all of my messages from Android to N9. I have no idea. I did some search but found nothing. Any suggestions?

Welcome to the maemo.org forum.
In which format are messages on Android systems stored? Without knowing that it's impossible to answer the next steps...

There is an application on Android called sms backup and restore. It can export sms in xml format.

It seems that there is no solution. I want to move to N9 ,but I'm stuck at the sms. What should I do?

I'd suggest transfer your files, contact's and forget about messages, transferring sms messages between manufacturers has never been common place.
I know the feeling and understand the annoyance but sometimes it's nice to start fresh.
If you have some important info in your messages just write it down, via a notes app even?
Surely copying sms isn't actually holding you back from using the N9?

Yes, transferring is holding me for moving to N9. Last time that I have copied my sms from Nokia 6681 to Android was quite complicated, but I have made it. I think that maybe there is an app that can import sms in csv or xml format on N9.

I'll never understand why people want their old smses on a new fone. Beats me.

There are some important messages, and it will make the conversation continuous, so I don't have to switch back to my old phone to look at the old messages.

You've probably already tried this but after you pair the two phones via bluteooth, try going to settings -> sync and backup -> sync.
It may be worth trying.

I have already tried that, and there was just an option to sync only contacts.