Ignoring the safety concerns, your criteria are unclear. Are you trying to block wind noise that you hear while riding or wind that your caller hears? Regardless, wind noise is a super tricky issue.

In the case of wind noise you hear, laminar and turbulent flow over the earphones will be conducted to your ear canal. Your best option is to use something like Cat-Ears, made by Airstreamz, to disrupt the laminar flow over your ears.

Wind noise heard by the caller is handled by mechanical means (something like a windsock or "dead cat," yes that is what they're called), advanced microphone design, and DSP. These are features poorly implemented (if at all) in budget headphones or earbuds. The Cat-Ears can help with this. Coupled to an open design (such as Sena headsets, very spendy) or bone conduction headsets (as mentioned by Seb the goblin), you can get very good results.

I use an OpenRun headset + Cat-Ears for listening to audiobooks on long rides, but never tried a phone call. My partner and I use Sena Nautitalk headsets on our sailboat, and those are pretty good (not perfect) in storms. The mic is on a boom with a windsock to help block wind, plus there's a whole lot of DSP going on. We wear bump helmets when sailing in gnar, however the fit with the helmet straps is a bit fiddly though.

Edit, edit: holy hell, typing on mobile; apologies