transfer process(physics)

The blowing wind carries the heat away from the walls and windows of your bedroom more rapidly than if there is still air. This is a 'forced convection' process.
As a result of forced convection, the temperature on the outer surface of the walls and windows is relatively lower. This causes a faster flow of heat from inside the room by conduction to the outside because of a larger temperature difference between the inside and outside of the room. This is the reason that you feel cooler.