Integers.
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It depends on your definition of whole numbers. The classic definition of whole numbers is the set of counting numbers and zero. In this case, the set of whole numbers is not closed under subtraction, because 3-6 = -3, and -3 is not a member of this set. However, if you use whole numbers as the set of all integers, then whole numbers would be closed under subtraction.
If you can never, by multiplying two whole numbers, get anything but another whole number back as your answer, then, YES, the set of whole numbers must be closed under multiplication.
Integer
That is called the set of "integers".
The two sets are the same: the set of integers.