Whey is a dairy product that contains high amounts of casein (a milk protein) and also some lactose( a sugar). If you are sensitive to either of those, or other dairy components, they could cause diarrhea, gas, or other types of digestive discomfort.
Also, some studies have linked casein (and other animal proteins) to cancer, though the evidence is controversial.
You might also be lactose intolerant. I hope you don't have a significant other. :)
You should try a why protein supplement that contains lactase. This definitely helped me a lot with the same problem. Also, if you are taking it with milk, maybe try soy milk or lactaid or something like that. Most importantly, make sure you are not consuming more than around 50 grams of protein at a time. Your body really can't process more than 50 grams in a given meal, so the excess will cause cramping/diarhrhea and gas.