In the truest sense, wind is the colour of the gases which constitute the air that it's made up of. We all know wind is air in motion and we also know that air is made up of about 78% nitrogen, 20% oxygen and what's left is basically every other gas that's on the planet.

If for example, you step into a vicinity that has a high amount of helium in the air then the wind is going to have a bit of a pinkish tint to it, if the air has a significant amount of argon in it then the wind might have a bit of a bluish tint.

The coulor of wind is purely dependent on its constituent gases, and if the air is in its most common and natural state, then it's going to be colourless.