To archive a conversation, use the conversation details menu, and choose the 'Archive" option. Note that it is always possible to unarchive a conversation.
Also note that an archived conversation is not "inactive". In other words, if someone writes again in this conversation, it will be reactivated. If you do not wish to receive a message from a conversation, you must permanently delete it or leave it.
Here's how to archive a conversation.
[MOBILE]
[WEB]