Have you checked if that's legal in your country? I feel like having headphones on while cycling is forbidden in mine - and sounds super dangerous even if it is not illegal since you can't hear what is happening around you.

I use in ear Bluetooth headphones when cycling. In Europe. Maybe in America you have to worry about hearing the sound of cars, it doesn't really seem like a huge issue to me. Drivers can't hear shit and it's fine for them, same for me, I can hear enough to know what's happening around me. I'm not cycling for hours with nothing to listen to.

Anyway, I would just not bother calling someone if I was moving, especially if I only had 60€ to spend. Pull over if it's urgent to speak

Headphones are not meant for bicycling. I would get a pair of headphones for the calls and an actual bicycle for the ride.

Thanks for pointing out!

To be clearer: so the one I'm calling wouldn't be bothered with the wind (so they couldn't hear the wind blowing on my microphone).

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

Probably not a good idea. A big part is being able to hear when something (like a car) comes up behind you. Bone conductive would be better for that, and can still wear a hat to keep your ears warm, but still hear if there's any danger. Sanoto is the common brand, Open Run could work as well, but it depends on your location and what's being sold.