The FAQ has some valid suggestions
― Some carriers commonly have issues with WhatsApp on WP7, even if it has worked before on another platform. If you are able to make other internet connections on your phone but WhatsApp cannot connect, it's possible that your network configuration does not permit the type of connections necessary for WhatsApp (socket connections).
― If you have a Windows Phone made by Nokia, try using the Connection Setup app from the Nokia Collection in Marketplace (this application may not be available in some countries).
― Please check your carrier's Access Point Name (APN) settings, which you can change under your phone's network settings; there may be a different APN for your carrier that allows non-web connections like WhatsApp.
― For Windows Phone 7: settings > mobile network
― For Windows Phone 8: settings > cellular
― Please contact your carrier for APN settings that permit socket (non-HTTP) connections.
― If you change the APN settings, please be sure to restart your phone for the changes to take effect.