I've no personal knowledge of these devices but I recalled reading some articles which questioned their effectiveness, so I Googled "deer whistles" to see what came up.
As far as I can see, all of the sites which say they work are either owned by the manufacturers or distributors of these devices. Most others seem to indicate that they don't. These include some very reputable sources. For example, see the last 2 paragraphs from this report from an American university research document:
http://lutra.tamu.edu/klr/hearing.htm
This letter to a magazine also quotes some reputable academic sources:
http://www.ibmwr.org/otech/deerw.html
Those are just a couple of examples of the many sites which are either 'reputable' in their own right or quote from reputable sources, which suggest that deer whistles are useless.
I live fairly close to Thetford Forest where it's possible to drive along the road, at dusk, with dozens of deer grazing right next to the road, oblivious to the traffic. I love to see these beautiful animals and would never do anything which might harm them (including posting an inaccurate response to your question). However, having read that information on those websites (together with what I've already seen in several magazines) I won't be buying a deer whistle.
Chris