Hey Jay,
this is intended behaviour for any web page, as far as I know – images on a website can be downloaded by any visitor unless a specialized script has been deployed to prevent e.g. right-clicking with the mouse. In case you do not want your website’s images to be downloaded and used by the visitors, the most effective way is to use watermarks. Alternatively, you can also have a look at third-party WordPress plugins that prevent image downloading, e.g. this one (please note, however, that the plugins will prevent image download by right mouse-clicks, yet will most probably be unable to prevent image download using a browser extension).
Sincerely,
Andrii / Satori Studio