It is not usually any windier on the Texas Gulf Coast than it is on the Atlantic coast with the same land vs water temperature differences. Or the coast of Lake Michigan.
Complaints about the wind come. from people unaccustomed to steady winds in the places they live the other part of the year, or in other places they've chosen to winter. SW Florida is usually not as windy, especially as far inland as many snowbird resorts are located. Some SW desert locations are usually windy, but people don't go there, the go to places that are not usually windy.