When you press "keep" on an audio message, what you're doing is telling your phone that you would like to keep it inside that text message and not be automatically deleted. It does this because audio and video messages may take a whole lot of space on your phone, so they make it like that to keep you free from excess clutter. You can control how long you want your phone to "keep" your audio and video messages by going to Settings > Messages > Store Messages.
I hope that helps. =)
- Liz