When you are flying (Not at a stationary hover ref the ground) there is no relative wind. The helicopter is moving through a moving airmass. Imagine a free balloon in a 100 kt wind. If you could see the ground you would know you were moving however you could strike a match since there is no wind relative to the balloon.
If you took away all ground referencing devices and you could not see the ground and did circles all day long the helicopter would not care however if you were able to draw your ground track afterworlds you would see connected elongated circles over the ground if you had a wind. If at the same time you could have your track drawn in the air you would see one circle. (Assuming you kept a constant speed, rate, bank turn)
Jerry