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Great question:

I found this:
Private keys are tied to your password and well-protected with a 12-words mnemonic seed phrase. Every address created has its own private key. Your funds are not stored in the wallet itself - they are stored on the blockchain.

And this post detailing the wallet: https://steemit.com/bitcoinwallet/@atomicwallet/private-keys-in-atomic-wallet

I hope it helps you :D I never asked myself that question and I should have !

It looks secure, thanks for sharing!