Malachi 4:5 says that God would send Elijah before the "dreadful" day of the Lord. In Matthew 11:14 Jesus says that John the Baptist was "the Elijah who was to come", showing that John the Baptist fulfilled that prophecy.
Many OT prophecies told of the coming Messiah, and of course that is Jesus, as evidenced by John the Baptist's ministry (among many other things). This John was the last of the OT prophets.
Be careful with the word 'prophet'. Not every prophet wrote or spoke Scripture. This is a very hotly debated issue.