NEDERLANDS

No, it isn't. It's just a waste of energy !
Let me demonstrate:

Let's assume that we a planning to ride from "A" to "B", and back.
This is what a lot of cyclists do. To ride to work and back, or just for fun and exercise.
In the following calculation, I'll focus on wind resistance, and 'forget' the rolling and friction resistances, since these  are more or less the same at different speeds.

The distance from "A" to "B" is, say, 40 km (roughly 25 Miles).
A well trained cyclist on a standard bicycle can ride at an average of 20 km/h (12.5 MPH)

On a day with no wind, our cyclist will do the total journey of 80km (50Miles) in 4 hours.

However, on a day with a 10km/h (6.25 MPH) headwind in one of both directions,  the result is very different!

For the part of the journey with the wind in the back,
our cyclist is able to ride at 20 + 10 = 30 km/h
he will only need 1hour and 20 minutes to cover the 40 km distance.

Unfortunately, on the way back home,
his speed is reduced to 20 - 10 = 10 km/h
and he will need 4 hours to cover the 40 km distance.
the total journey of 80km has taken 5 hours and 20 minutes.
His average speed is hereby reduced to 15 km/h (9.3 MPH)

I told you there is nothing romantic in riding with the wind in your hair...