The erotic massage scene in Thessaloniki is dead; there’s a total number of ZERO parlours in this city. I imagine that brothels took over as the main spots of erotic rubbing. There are massage studios, there’s just nothing erotic about them, at least officially, what happens between you and your masseuse remains between you and your masseuse.
Under the most innocent scenario you’ll get a great classic massage for €20. Try for instance Eve Spa Services (http://www.evespa.gr/) at Egnatia 112, or Luxury Living Spa (http://www.luxurylivingspa.gr/) at Tsimiski 93.