I am assuming that you do mean "footnote" and not "footer."

I changed your question title a bit. I hope it more accurately reflects your question. If not, please change it back.

I have never tried this but assume that you would want endnotes rather than footnotes since there are no pages in Outlook messages. Comments may be the closest Outlook can come to footnotes. What happens if you convert the footnotes to endnotes in Word first?