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!