Why my htc saves all the pictures I see and I don't see ? From everywhere

So, I have a htc desire 816 and in my Gallery folder it saves ALL the pictures from web. I get into a game, he saves all the thumbnails, and it reached like 5k pictures in my phone...I deleted the whole folder and now I dont have any picture in my phone because it erased the photos from my Camera shot too. This sucks because I don't wanna see the face of the dude I'm playing manager or something in my phone, i want to have only the pictures I put or I take or download myself. It takes from the app or game all the thumbnails and put it in my phone, why is that ?