If by anemometer you mean a meter to measure how anemic you are riding that day, then I think a power meter can do the trick
. While the speed changes depending on wind, elevation etc. the power meter measures your direct performance. However, if what you want is an indicator of wind direction then you could possibly invent something!
I say the problem is that the wind generated by speed will obviously indicate that it's always a headwind and putting a barrier would then overrule everything coming from the front completely. You could have some sort of speed sensor matched with a GPS device. The Speed sense will calculate the wind produced at certain speed with no other factors included. The GPS will help to indicate where you are headed or your bicycle is pointing and as a base it will substract the windspeed produced by speed to the total that intakes directly from the front. In the back you can do the same thing but the inverse, with the speedsense doing the same. From the sides just regular sensors since you are not moving on those dimensions.
I know it's probably a stupid idea but it made me think!.. which is something that I don't do often.