In the simplest models the bulk of wind is mostly caused by two major factors. The sun heating parts of the earth's atmosphere creating high pressure zones and the Earth's rotation displacing air.

The only observable effects we'd see in the conceivable future are that scaling wind energy utilization would decrease the effectivity of other technologies that rely on wind vs such as sails or wind turbines, as wind turbines locally disrupt airflow patterns.

The larger environmental cost of them like many green energy solutions would be the materials used in their manufacturing and the energy spent to haul them to their site of deployment.