After a time it does, but your groundspeed doesn't instantly change, while the wind speed/direction can. The problem is you're flying a heavy object through a relatively light one.
Momentum has nothing to do with airspeed. That's why, when experiencing windshear, you can see dramatic changes in airspeed. I've seen +/- 10 kts in a light aircraft occurring quicker than closing hte throttle would have done.
The Danger of Windshear