I tried it once during a rec game a while ago, and just as
you say every time I would let go of the whistle it just
went straight to the floor. I just couldn't get the hang
of putting my hand to my mouth before dropping the whistle,
although towards the end of the game I did get quite
good at catching it before it hit the ground, about waist
level.
Anyway, here in NY state we are required to use a
lanyard or smitty for safety reasons. I think some kid
slipped on a whistle a couple of years ago & the rest is history.