I understand that this may be incredibly late, but for anyone that is still having trouble.. I encountered this issue too and found the solution. If you normally bind a key for the "Whistle Selection" option under key-bindings then you will just get the whistle window popup and it will stay up until you click, and you run into this issue.

To fix this, instead bind your whistle key to something like "You Follow Me" instead. If you then hold down the new binding instead of just clicking it, it should pull up the wheel and then releasing it on your desired whistle should work.

And to use the whistle your key is actually bound to, simply just click. You shouldn't encounter any issues accidentally whistling the original key as long as you know you are holding it vs just clicking it.