The air drag is a force that is proportional to your speed relative to the wind.
Let V be the speed of the wind and v be your speed. Assume that both have the same direction. Your speed relative to the wind would be equal to V-v.
If your speed goes in the opposite direction as the speed of the wind, then your speed relative to the wind would be V+v.
Then, your speed relative to the wind is greater if you run into the wind than if you run with the wind, which causes more drag when running into a wind.