The wikipedia article on Environmental impact of wind power has a good section on this:
One study reports simulations that show detectable changes in global
climate for very high wind farm usage, on the order of 10% of the
world's land area. Wind power has a negligible effect on global mean
surface temperature, and it would deliver "enormous global benefits by
reducing emissions of CO2 and air pollutants". Link to source
Another study published in Atmospheric Chemistry and Physics suggested
that using wind turbines to meet 10 percent of global energy demand in
2100 could actually have a warming effect, causing temperatures to
rise by one degree Celsius in the regions on land where the wind farms
are installed, including a smaller increase in areas beyond those
regions. This is due to the effect of wind turbines on both horizontal
and vertical atmospheric circulation. Whilst turbines installed in
water would have a cooling effect, the net impact on global surface
temperatures would be an increase of 0.15 degrees Celsius. Author Ron
Prinn cautioned against interpreting the study "as an argument against
wind power, urging that it be used to guide future research". "We’re
not pessimistic about wind," he said. "We haven’t absolutely proven
this effect, and we’d rather see that people do further research".
Link to source
The actual linked source articles are well worth the read.
From reading through them it appears the effect is a matter of scale and likely something that could be helped with advances in technology. It also talks about considering the benefit vs. impact.