To delete a message in WhatsApp, tap and hold the chat bubble.  A menu will appear with an option to [delete].

This tap and hold gesture also works in other places - for example in chats and favorites. So, if you want to delete an entire chat or one of your favorites, just tap and hold.

Learn how to delete messages or chats on: Android | iPhone | BlackBerry | Nokia

Cheers,
WhatsApp Support Team