An Reply privately button in context menu for messages sent to a group so you can reply and preserve the context of the original message by showing a preview of the replied message and a button to open the message in the group's context.
Workarounds
They require extra taps and are not easy for the average user:
Create a reply, tap the reply preview above the input field, select 'Reply in Another Chat', then choose where you'd like to send it.
Issue: Difficult to find the user if you don't have a chat with them
B: Forward + Reply
Forward a message from a group > Find the user you want to reply in private > Send your reply with the attached fowarded message
Issue: No link to open the message in the original context.
C: Copy Message Link + Reply
In supergroups you can use Copy Message Link > Find the user you want to reply in private > Send your reply with the link to the message in the group.
Issue: No direct preview of the replied message.
D: Cmd/Alt + Click on Reply button (TDesktop only)
You can hold Cmd/Alt and click on Reply button in message context menu as a shortcut to reply in another chat on Telegram Desktop app — https://desktop.telegram.org/
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More on this very essential feature
To reply in a different chat, tap the reply bar above the input field, select 'Reply in Another Chat', then choose where you'd like to send it.