Whenever I see a cyclist, in my area, with a whistle in their mouth, which is (thankfully) infrequent, I immediately assume that they're a dbag. In this area, the only reason you'd need one is if you were making it a habit of bombing the MUPs - if they're in that big of a hurry, they need to be a big boy/girl and take their ass to the road. When I lived in NYC, there were (literally) a few times that one would have come in handy, but... yeah, still a "no, thanks."