Since protein only yields 4 calories per gram, your whey protein is DEFINITELY NOT making you fat.
Protein has taken a bad wrap for years, but with the recent popularity of the Keto diet, the outlook towards protein has changed tremendously from being a negative to a positive.
After all, protein is composed of amino acids, which are the BUILDING blocks for your muscles. Therefore, the more you BUILD your muscle, the more fat and calories you will burn. If you are burning more fat and calories, then there is NO way you are getting fat.