I have whatsapp installed on my lumia 710 running on 7.5 tango. Yesterday one of my friends send a Picture and video but I deleted the chat later.
Now, I can find the image in pictures album Saved, but couldn't locate the video
If a 3rd party app is saving a video, its stored internal to that app. The app itself would have to have a way to share it, such as emailing or posting to a share somewhere. When you deleted it you probably toasted the video too.