If there is a room filled with air and it had a door and a window, air only blows at a high speed through the window if the door is open. The wind stops if the door is closed. Does the air behave like a solid in this respect?
It does not behave like a solid.
There is a pressure difference between your window and the space beyond your door. Pressure differences drive flow of air (i.e. wind). When your door is open, the air flows in and then out of your room without altering the pressure difference (presumably there is some condition outside of your door that maintains this pressure difference, otherwise there wouldn't be any consistent wind at all). But when you close your door, the airflow quickly equalizes the pressure in that small space, which stops the wind.