The favorites list automatically displays all contacts from your phone's address book who have WhatsApp.
If you do not want someone to be able to message you on WhatsApp, you can block that contact.
To delete a contact from the WhatsApp all screen permanently, you will need to delete the contact from your phone's address book.
Learn how to delete a contact on: Android | iPhone | Nokia S40 | BlackBerry | Nokia S60 | BlackBerry 10
Cheers,
WhatsApp Support Team