If you might have noticed it, there’s a sub-folder in your WhatsApp folder (in your SD Card) called as “WhatsApp Calls“.

This was recently discussed (in May 2015) on reddit in a thread where users have discovered WhatsApp recording the phone calls and storing it on your phone. If you haven't find anything you can have some third party apps to record here list of those apps http://techpctricks.com/record-whatsapp-calls/