If the inductor being measured is not an air core type, the permeability of the core material may well change with frequency. And, for that matter, the permeability may change with the applied test signal level. Ferrite material is perhaps the most well known for permeability change with frequency, but it's not the only material.
Second order effects also causes change in inductance with frequency - for example as the frequency increases, the current distribution on the wire an inductor is wound with changes. Skin effect drives the current to the outside of the conductor and proximity effect drives current away from the conductors surfaces that are adjacent. These effects are small in many cases but they alter the equivalent dimensions of the inductor and hence the physical flux linkages and therefore the inductance.
Finally, as has been mentioned, all practical inductors have self-capacitance. At some frequency, the inductor becomes self-resonant where the distributed capacitance and inductance form a parallel resonant circuit. As you measure an inductor with a variable frequency source, the closer you are to the SRF, the greater the indicated inductance. At the SRF, the indicated inductance is 0 and above the SRF, the sign inverts and the instrument indicates you are measuring a capacitor, not an inductor.
It is possible to "de-embed" these various parasitic effects and model a real inductor as a network of theoretically perfect parts, none of which change with frequency. So in one sense, it is correct to say that the "inductance does not change with frequency" provided that you mean one part of the model of a real world inductor. However, if one conceptualizes the real world inductor as a black box it is just as accurate to say that the box contains an inductor with parameters that are a function of frequency (and applied test signal level, etc.)