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.
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.
Protein powder on its own does not make you gain weight, unless you are drinking an excessive number of protein shakes.