Yes dogs can be affected by Wind Chill like humans can even though dogs have a fur coat they're still cooled off more when the wind is blowing.
If it's really windy out and the weather is cold bring the dog inside the house or somewhere warm to prevent them from freezing to death or becoming sick.
The fur coat that a dog is naturally equipped with protects the dog a little bit from the wind but they still get colder faster in windy cold weather.
You can buy your dog an additional dog coat to keep them warmer when walking them or taking them outside in the cold to protect them from the cold more.