Yes, it is very possible for a heating effect to take place due to fast moving air.
Essentially, air cools down a subject by increasing the area over which the heat gets dissipated by passing more air per unit time across the subject.
In case of ideal gases, we have a formula that governs the temperature of the air with regards to its root mean squared velocity.
$V_{rms}=\sqrt{\frac{3RT}{M}}$
Where, $V_{rms}$ is the root mean squared velocity, R is the universal gas constant, T is the temperature in kelvins, and M is the molar mass in kg/mol.
A fan speeds up a tiny fraction of the total air in the room, this air then travels through the rest of the air present in a room, and collides with the slower (cooler) air and dissipates its energy significantly well before it reaches the subject. The increase in temperature of the overall air is negligible. But when dealing with fast moving air, this increase has to be taken into account, as faster moving air can cause a heating affect via the drag forces.
Let us consider the example of a supersonic jet, the air itself is not collectively moving at such high speeds, but we may still use this example as the relative velocity between the air and jet is still high. This fast moving air creates great drag (frictional) forces on the jet, causing it to heat up.
More information about this effect be found here