It can be a nice breeze, or a destructive storm, but either way wind is just moving air. And moving air is just moving molecules.
In an explainer for kids that's actually pretty helpful for grown-ups, too, Matt Shipman reminds us that the air around us isn't totally weightless. It weighs something, because molecules all weigh something:
They don't weigh very much (you couldn't put one on your bathroom scale), but their weight adds up, because there are a LOT of molecules in the air that makes up our atmosphere. All of that air is actually pretty heavy, so the air at the bottom of the atmosphere (like the air just above the ground) is getting pressed on by all of the air above it. That pressure pushes the air molecules at the bottom of the atmosphere a lot closer together than the air molecules at the top of the atmosphere.
And, because the air at the top of the atmosphere is pushing down on the air at the bottom of the atmosphere, the air molecules at the bottom REALLY want to spread out. So if there is an area where the air molecules are under high pressure (with a lot of weight pushing down), the air will spread out into areas that are under lower pressure (with less weight pushing down).