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
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Step 1. Open WhatsApp
You should have the latest version, otherwise update it via the App Store.
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Step 2. Tap Chat
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Step 3. Select a conversation and swipe from left to right
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Step 4. Tap Mark as unread
The conversation will be marked with a blue dot.
Method 2 of 2: Android
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Step 1. Open WhatsApp
You should use the latest version, otherwise update it in the Google Play Store.
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Step 2. Tap Chat
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Step 3. Touch and hold the conversation you want to mark
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Step 4. Tap Mark as unread
A green dot will appear next to the selected conversation.