You know what?
There are limitations for apps to directly store content in SD card, starting from Android 4.4 KitKat. Therefore, WhatsApp stores all your media in the Internal Storage by default.
If you are a storage freak having a lot of data, you might be used to the push notification indicating that your storage is running out. Fortunately, there is a cure.
If you have a rooted device, then you can do some tweaks to change the storage location to SD card.