I shall avoid the tediously obvious scatological descent that might follow from "wind", "panties" and "underwear"...
... yes, it can sometimes be windy, but luckily not too often around the centre... the placing of high-rise buildings was mostly done with this in mind, to avoid creating "wind-tunnels" though the city. However, it fairly whistles along the river embankment sometimes.
St Petersburg, by comparison, is a bitterly draughty place - its location on the Gulf Of Finland places it directly in the way of winds blowing straight down from the Arctic
Charming, elegant and beautiful by summer, of course... but I try to avoid too many wintertime trips there! I got roped into a gig in the Scheremetev Palace (aka The Museum Of Music) there last Feb - a venue built with elegant access by canal-boat in mind originally, with the nearest vehicular access some 2km up the embankment. It was -33C and howling a gale as we heaved that bloody harpsichord along to Nevsky Prospekt