My husband sends sexual whatsapp messages to a colleague

I recently found out that my husband is having contact with a colleague via whatsapp. It's not only about work, but clearly sexual and exciting messages.

I never look in his phone, but I started to feel suspicious, because he is often in his study in the evenings. I thought he was working, but when I came in, he was quickly putting his phone aside.

A few days later I decided to check his phone and he deleted everything, but there were some messages from this woman. When I confronted him with that, he said it didn't mean anything because it were only some whatsapp messages, a kind of play. To me it felt more like cheating.

What should I do with this?