Yea, these little Yorkies are famous for whining. The best thing to do is ignore them when they do this. They are like kids if they figure out that whining gets them attention they will keep doing it. I tell my boy to be quite and I ignore him. I think they do it more as puppies, I pen and crate trained my boy and I remember him whining quite a bit. Make sure they have lots of toys to, we would love to give them all our attention but for alot of us it is not that easy.
He will learn that when he whines he gets no attention. And they don't like that.