I have a whistle on my keys, on and in every pack and bag i use outside and one on my belt clip, they cost little, weigh little, don't need batteries, need no skill to use and will always work when you are in a pinch, i was bought up to always have a whistle on my person 'just in case' when out and about, even if you are in an area with high foot traffic, you only need to slip and fall in a ditch or down a slope and you are instantly more difficult to find, sure you could climb back up, but that's assuming you are not injured in some way.
I've once had to use my whistle when i heard six whistle blasts on a trip to the woods, i responded with three and then followed the sound of the other persons whistle blasts until i found the person in the woods, they were on their own and had tripped and twisted their ankle, not badly, but enough to render them all but immobile without help.
If it wasn't for them having a whistle and me being able to follow the sound to them, the simple £1.00 whistle probably saved them from exposure at the very least and blind panic, shock and possibly worse if they had not been found, i also know that when you do call for help using a whistle, the psychological boost you get from hearing three blasts in reply, is massive.
Stuff like three fires is ok if you are in the open and not immobilised and can therefore make the fires, assuming of course there are materials around to enable you to do this,
Yes, you could make a whistle or similar device, but many people dont know how to make a whistle from naturally occuring materials, and really, why bother when they are so cheap and readily available? and tbh, i doubt if you could make a whistle while suffering from shock or exposure and certainly not one as loud as a pukka orange survival whistle.
So to answer the question, in my mind and from my experience, yes, it is wise to carry a whistle, sure i also carry a mobile phone and where i live it's never out of signal range, but it relies on a battery and as Harvestman stated, in cold weather even a fully charged battery doesnt last long.
Just my experience and thoughts