It will, but before you travel, you'll need to set a PIN, if you don't already have a personalised PIN in operation.
When roaming, your voicemail service will operate just as it would when you're in the UK BUT before you travel, you'll need to set a PIN, if you don't already have a personalised PIN in operation.
To set a PIN(configure your security settings), dial 901, press the * (star) key then it's option 4 and option 4 again.
Listening to your messages when abroad costs 33p per minute.
If you forget your PIN while you're abroad, call our customer services team free on (+44) 3300881818 and we'll arrange for your PIN to be reset.
Here's a handy guide to all things 'voicemail': https://community.o2.co.uk/t5/How-to-Guides/All-you-need-to-know-about-O2-Voicemail-901/ba-p/547712