If a creature returned to the battlefield with Whip of Erebos would leave the battlefield for any reason, it's exiled instead. However, if that creature is already being exiled, then the replacement effect won't apply. If the spell or ability that exiles it later returns it to the battlefield (as Chained to the Rocks might, for example), the creature card will return to the battlefield as a new object with no relation to its previous existence. The effects from Whip of Erebos will no longer apply to it.