Yeah that is always a tough one. I´ve been on your side of the fence 3 times and on the other (student wanting to ditch me) once. It all depends on the other instructor, some are fine and some take the hump.
My strategy would be to accept the student but talk to the other instructor in an exasperated "Cor, what a moaning minney, don´t suppose you mind loosing him/her, guess I´m lumbered then as they´ll make a fuss if we refuse, tsk! Students Huh!" etc. etc. This saves his face and diffuses a difficult situation by placing the onus of blame on the student. Of course you don´t let the student know this.
That said be wary of the student who has unrealistic expectations of you and your time and ends up wanting to change all the time. If you´ve got the credentials e.g. 500hrs instruction and 100 stisfied customers then you´ve got a leg to stand on when telling them to just buckle down and work harder.
Cheers,
WWW