My wife, who knits, and loves me, suggested that a knitting needle case might work very well for storing whistles. I purchased one from Joann Fabrics. It has enough pockets to hold three or four metal whistles, but probably wouldn't fit wood or plastic whistles. The slots in the case are also too small for anything pitched lower than soprano D. It also holds my tuner, extra fipples, and accessories. The outside of the case is quilted fabric, and the inside is plastic. There is a zipper around the outside to close the case.
You can click on the pictures to enlarge them.
This case suits me well since I play cheap whistles. If I played $200 whistles I'd probably want something nicer.
Update: The Whistle Shop is now selling a couple drum stick bags as whistle cases. They're a bit more appropriate, I think, than the "coffin" style mentioned above.