In the afternoon onshore winds pick up as the sun warms the land forcing the air to rise, pulling cooler air off the ocean to replace it.
The technicalities of this truth are obvious as are the implications. It gets windy on the beach and anything sail-like will need a solid anchor.
Except this is probably nothing to do with the intent of this saying.
No doubt it is all about the need for humans to parade themselves in places that are beyond their basic design and even as the wind blows away our protection, we continue to strut our stuff with a big smile on our faces.