Juli Clover, MacRumors:

A serious bug in the iOS 15 Messages app can cause some saved photos to be deleted, according to multiple complaints we’ve heard from MacRumors readers and Twitter users.

And:

If you save a photo from a Messages thread and then go on to delete that thread, the next time an iCloud Backup is performed, the photo will disappear.

Even though the image is saved to your personal iCloud Photo Library, it appears to still be linked to the Messages app in ‌iOS 15‌, and saving it does not persist through the deletion of the thread and an ‌iCloud‌ backup.

There’s more detail in the linked article. To be safe, until this bug is either disproved or fixed, don’t delete Messages threads with Photos you care about.