John 3 is the conversation between Jesus and Nicodemus about baptism. Ignatius of Antioch writes about this verse:
"For though some would have deceived me according to the flesh, yet the Spirit, as being from God, is not deceived. For it knows both whence it comes and whither it goes..." The Epistle of Ignatius to the Philadelphians, Chapter 7
So, according to Ignatius, the wind is the Holy Spirit, and the Holy Spirit knows from whence He comes and where He is going. Indeed, the Greek word used for wind in the verse is πνεῦμα (pneuma, breath or wind), which is the same word used throughout the New Testament for the Holy Spirit. It is therefore clear that Jesus is speaking about the Holy Spirit when He speaks about the wind.
We too know where the Holy Spirit comes from: He "proceeds from the Father and the Son" (Nicene Creed). And we know where the Holy Spirit is going (i.e. what He is doing): He "calls alongside" us as the Paraclete, pointing us to Christ and His gifts of life and salvation. He is sent by the Father in Christ's name, teaching us all things and bringing to our remembrance all that Christ has said to us (John 14:26). Thus, the baptized child of God who has the Holy Spirit and has been born again knows where the wind comes from (from the Father and the Son) and follows where the wind is leading (to the Father through the Son).
When Jesus tells Nicodemus (not yet a baptized believer) that he does not know where the wind comes from and where it goes, He means that Nicodemus should seek to understand the source and work of the Holy Spirit and follow his guidance to Christ by means of baptism.