Yes kinda, although even very large wind farms are small compared to:

1) the total height of the atmosphere and

2) other natural obstructions like cliffs and hills

What happens in surface level winds (which is where windmills operate) are actually controlled by the upper level winds. Obstructing surface level winds has local effects (these are also called "terrain effects" since this is usually caused by geography).

Theoretically, if you were to cover the earth in windmills, this would have a serious effect on surface level winds, where they would generally be blocked by a nearby windmill. This would be especially noticeable at sea where you otherwise don't get terrain effects. The vast majority of the atmosphere (everything above a few hundred feet) would continue to be unaffected, though, and would continue to be driven by ground and sea surface temperatures and the Coriolis effect, mostly.