How Goosebumps Work
Being cold creates goosebumps which makes the hair on your arm stand straight up. When the gust of wind hits your skin, your body quickly draws blood away from the skin and extremities and rushes towards internal organs as a survival strategy. This process triggers tiny muscles to tighten the skin and stand the hair straight up in order to trap heat and defend itself against the cold.
This is just another example of how the body is always looking for homeostasis and how one outside influence (like a cold breeze) can trigger different bodily systems to change and react as a defense mechanism.