Yeah, I'm not sure I like the holster idea and climbing, no matter how secure. Being overly cautious in a raising is a good thing. Three dangers exist if using one and climbing - dropping it on someone who didn't know you were using it above, either blunt or sharp end would be bad so extra caution with everyone paying attension to the one chisel on the deck sounds good. Next is dropping it while climbing- it becomes unsecured from the movements. And finally, if you go to put it back in the holster and put that razor sharp chisel into your leg. I guess a fourth one exists in that it may make climbing more difficult or catch on something.
With that said, I use Jim Rogers sheaths and I don't see why you could add a strap for around the leg and one up to the belt loop. You might want a complete rigid backing for it along it's length, makes it more awkward though. If the chisel is as long or longer than the thigh you carry it on, or the handle comes all the way to the belt line (pivot point), it could be a problem.