When you receive a photo or video from a contact in WhatsApp, it will automatically be saved to your phone's local store after loading. This means that all content received from WhatsApp is visible to anyone who has access to your default photo gallery. Luckily, there's a new feature for the Android version of the app that can prevent that.
For now, this new feature is an experiment in the WhatsApp Beta for Android, but you can try it now by joining The WhatsApp Beta from Google Play.
Android's new WhatsApp beta feature prevents photos and videos from being automatically saved to your device's default gallery. Any media you already have in your WhatsApp Gallery will be retained. Only new media received will be blocked in your Gallery app. All media can still be viewed in the WhatsApp threads in which they were received.