Yes, whey protein powder can cause weight gain, but by adding lean muscle mass. This is a healthy addition to your body and nothing to be concerned about.
Protein powder on its own does not make you gain weight, unless you are drinking an excessive number of protein shakes.
If you're an athlete with a higher calorie requirement, then building lean muscle while maintaining body weight is a worthy goal.
For those that have difficulty maintaining or gaining weight, protein powder can be a useful tool.