Great question. It might be made even more vexing if we compare the sound of wind with a musical piece in which musicians play instrumental music that resembles almost exactly the sound of wind. The chief reason why most of us would distinguish the two is because it is long held that works of art are artifactual: things (events or sounds) that are produced intentionally. The term "art" actually comes from the word "ars" which refers to the technique (techne) that is used to produce something. So, for most of history and today, the term "art" is short for "work of art" and because the sound of wind is (typically) not an intentionally produced to be a work (of art), the two are different.
Still, we can imagine someone recording the sound of wind and then using this in an overall musical production. We can also imagine musical compositions intended only to be performed on windy day or during extreme weather conditions in which there is thunder and lightning. In such ways, artists might attune their work to incorporate a variety of environmental factors.