Horses can get especially spooky on windy days, here's why:
Horses have evolved, over millions of years, both physically and mentally to survive as a herbivorous prey-animal. They have a strong flight instinct and are always vigilant to perceived dangers.
Wind will affect a horse's hearing, impairing one of the senses that horses rely on for survival they will therefore be more anxious and alert, often spooking at things that would not normally worry them.
Also on windy days there is movement all around the horses, trees and bushes swaying etc. To the horse this equates to danger, unusual movement could be from a predator who wants to eat them or it could be from another creature running from a predator. Therefore they are more anxious and alert and liable to spook.
Add to this the occasional banging of a door that probably makes you jump yourself and you'll understand why horses can get spooky in the wind.