WhatsApp allows you to mark messages as "unread". This function does not change the status of the messages: open a conversation, the sender will still be able to see if you have read them or not; it only allows you to mark important chats that you intend to refer to in the future.
Steps
Method 1 of 2: iOS
Step 1. Open WhatsApp
You should have the latest version, otherwise update it via the App Store.
Step 2. Tap Chat
Step 3. Select a conversation and swipe from left to right
Step 4. Tap Mark as unread
The conversation will be marked with a blue dot.
Method 2 of 2: Android
Step 1. Open WhatsApp
You should use the latest version, otherwise update it in the Google Play Store.
Step 2. Tap Chat
Step 3. Touch and hold the conversation you want to mark
Step 4. Tap Mark as unread
A green dot will appear next to the selected conversation.