Dormin says the following upon retrieving the item:
That is a "Whistling Arrow"...
By using it, thou shalt be able to avert the attention of a colossus
The Whistling Arrows can be used to attract a colossus's attention and direct it away from Wander. This can only be done when the colossus is not yet aware of Wander's presence. Once a colossus has noticed Wander the Whistling Arrows become 100% useless, because it can't be used for attacks as it cannot trigger minor sigils or other weak spots (like the bottom of Quadratus' hooves) and does no damage. Using the arrows while wearing the Cloak of Deception is especially useful, since the colossi will never notice Wander's presence. Otherwise, the Whistling arrows are not worth using.