I'll keep an eye open for cows and get back to you on this, but meantime...
Something to do with watching out for predators
Wouldn't it be the other way round? You can smell the predators coming from the windy side so you would think they would look the other way, where smart predators are likely to come from. On the other hand there is some evidence that all cows think all day is "Mmmmm... grass".
And in any case there is some scientific evidence that cows align themselves with the earth's magnetic field. See
And on that farm the cows face north – says Google - life - 25 August 2008 - New Scientist so you could use them to check your compass. This research was not done by hanging around cows but in the modern armchair method by looking at herds on Google Earth.