If you are reading your Whatsapp Chat messages on your Windows computer using Whatsapp Web, rather than on your mobile phone and you are not able to download the videos, because the option is missing in the menu, you need to firstly click each video and watch it in its entirety.
After you finish watching the video, you will then see the “Save As” option in the top right drop down menu. Left click the option to save the video to a place of your choosing on your computer.