Something

var functionReceiveSocketData =
    Observable.FromAsyncPattern<byte[], int, int, SocketFlags, int>
        (socket.BeginReceive, socket.EndReceive);

Func<byte[], byte[], byte[]> append = (bs1, bs2) =>
{
    var rs = new byte[bs1.Length + bs2.Length];
    bs1.CopyTo(rs, 0);
    bs2.CopyTo(rs, bs1.Length);
    return rs;
};

var messages = new Subject<byte[]>();
messages.Subscribe(x => OnMessageReceived(x));

Observable
    .Defer(() => /* as above */)
    .Repeat()
    .Scan(new byte[] { }, (abs, bs) =>
    {
        var current = append(abs, bs);
        if (isCompleteMessage(current))
        {
            messages.OnNext(current);
            current = new byte[] { };
        }
        return current;
    })
    .Subscribe();