Welcome to Android Central! This appears to be poor coding on the Facebook developers' part. There's at least one directory where the Facebook Messenger app is caching images that it uses, including stickers. You can locate that directory by opening your gallery app, tapping one of those sticker images, than tap Info to see what directory they're in. Then use a file manager app to go to that directory and create a blank file called .nomedia. (Not all file manager apps let you create a file -- you might have to try a few different ones in the Play Store.) Once a .nomedia file is in that directory, it should be hidden from the Gallery app.
But regardless of whether or not they're visible in your Gallery app, they're still taking up a little storage -- that's how Messenger accesses these stickers. The amount of space stickers take up should be pretty small, though, so I wouldn't worry about it. If you really don't want them, then you should consider uninstalling FB Messenger.