According to the report from MacRumors, basically how this bug occurs is when you save a photo from a Messages conversation to your Camera Roll. You must then check to see if the photo has been saved. After which, you will need to delete the Messages conversation that the photo came from.
At this point, the photo should still be in your Camera Roll, but once you perform an iCloud Backup, the photo will then disappear. Given that iCloud Backup is something that most iOS users have enabled, this could affect users who tend to delete message conversations every so often.
We’re not sure if this only applies to photos saved after iOS 15 was installed or if it affects all photos that were part of the conversation.
However, like we said, unless you’re the type that regularly deletes message threads, there is a chance that this is a bug that might not affect you. Either way, it’s something that Apple definitely needs to address, but reports are suggesting the issue is still present in the latest iOS 15.1 beta, so it might be a while before we see a fix for it.