Teasingly whine back. Say, “You know I don’t like it when you whine. What if I always asked you to do something by whining? [switch to a whining voice] We have to get going now, why won’t you come put on your coat. I really, really want you to put on your coat …” The reality of his behavior, coupled with the absurdity of his parent whining, should make him realize how silly it is.
Pretend that the whining is actually a small animal that’s making noise somewhere. “Hey! Did you hear that? That whining noise? It sounds like it’s coming from you but it can’t be—you know not to whine when you’re asking for something. I’m sure you’d say please and ask in a normal voice, so there must be a baby cow or puppy somewhere—maybe it’s in your pocket. Let’s look.” The message should come across loud and clear.