Our paper focuses on assessing the role of state funding in supporting wind energy projects with a focus on economic efficiency and risk assessment. In particular, we analyze the new program aimed at supporting Russian renewable energy (RE) projects envisaged for the period from 2024–2035 that involves a reduction in investments in such projects and the introduction of large fines for non-compliance with regulatory requirements for localization and export. These strict rules imposed by the regulatory authorities, as well as the withdrawal by foreign manufacturers of equipment for renewable energy from the domestic energy market, put into doubt the economic feasibility of the participation of sector players in state-supported programs. Our paper assesses the economic justification for the practicality of the Russian energy market to implement renewable energy projects under the influence of negative environmental factors and the reduction of state support programs. We employ a case study of wind energy projects carried out in 2018–2020 as a part of the first sector support program. Our methodology is based on the calculations of the classical indicators of economic efficiency of projects (NPV, IRR, and DPP). Our own approach reveals that these indicators are supplemented by taking into account the cost of specific political, environmental, and economic risks of wind energy projects. Our results reveal that, at the moment, Russian wind energy projects in various scenarios retain a sufficient margin of financial strength and are able to withstand a reduction in the amount of financial support from the state. Our findings allow the formulation of some practical recommendations for reducing the share of governmental support for wind energy projects on the local energy market as a measure of cutting costs and increasing overall economic efficiency.