If you look at fabric cases for storing (straight or double-pointed) knitting needles online, you can find some lovely ones that will work for whistles. They even have sewn divider pockets for different sizes.  Some of them will roll up and tie with a ribbon, and include a flap over the top before it gets rolled up.

Very nice, handmade soft shell whistle cases may be purchased form OJoyous and Roach Works, both found on Esty.