I have four cats and I've teach them to walk with me when outside, they know when I say "lets go out" that it means going for a walk. They also know what treats, eat and playtime and combing (they liked to be combed)is. Yes, they stay with me when going for walks.
My wife can get the both cats to walk with her and the dog, but they will not walk with me. I can start walking the dog, and they sit on the chairs in the back yard and watch. If I start digging in the garden, one or both will be there "helping" me dig. One or both just dug up about half the radishes that had just sprouted this week.