You're extracting energy from the flow of wind, and there is a finite amount of energy to be extracted.

It's easier to think of the analogy of a hydro turbine in a river. The water clearly has mass and velocity, which gives it energy. As the water makes the turbine blades spin, you extract some of the energy from the water and turn it into rotational energy of the blades. Thus, the water behind the turbine has less energy and will be moving slower. If I put another turbine behind it, the water that hits it will have far less energy to extract.

Where it gets complicated is that the water behind a turbine blades will have lower pressure than the water in front of it, because energy has been extracted. As you know, a low pressure fluid wants to flow towards a high pressure fluid, so this would theoretically induce flow 'backwards' through the turbine. In reality, it just acts as a resistive force against the fluid flowing through turbine. The more energy you extract, the more the fluid 'behind' the blades will resist the flow.

This actually leads to some interesting math: to maximize efficiency, a wind turbine should only extract 50-60% of the energy flowing across its rotor area. Thus, if you can make one set of blades extract 50-60%, then an additional set of blades is unnecessary and will only add cost and complexity.

Edited to add a source for the last point on the math: https://en.wikipedia.org/wiki/Betz%27s_law