I was playing and swimming around the mountain (red circled area in the below image) I heard a "whoosh" sound, so I made Geralt turn around. I swear I saw the tail of a whale, which leads me to believe that they exist in the game. Where I can find them? I have marked the area where I saw the whale in the image below.
Yes, there are whales. They seem to mostly be around Skellige, as mentioned in threads like this one:
TIL there are whales in the ocean near Skellige
However, according to posts like this one, these whales are mainly surface elements and very quickly despawn once they dive underwater, so you're not likely to see a whole whale -- just the tail.
the whales are only surfice elements...u jump in and theres nothing there
All of this is backed up in this article as well:
Another incredible and rare event that may awaken a fear of the sea in you is an encounter with a huge blue whale off the coast off Skellige. [...] The animations for the whales are a bit half-baked compared to the rest of The Witcher 3. Sometimes you just see a frozen fin sticking out of the water, which then submerges when you get close to it. Other times you see the whale undulate across the water, but then disappear immediately when you dive under the surface. But, if you get lucky, then you can witness the whole breathtaking process, with the whale emerging, submerging again, then swimming for a bit underwater and emitting a valedictory call before clipping suddenly into nothingness.