Its because of thermodynamics. When you use fans in an area that doesn't have other external circulation, you introduce more energy into the system. This will increase increase temperature. From personal experience for a closed room, fans don't help if temperature even reaches 27degC. If the temperature outside exceeds 35 degC or basically any comfortable temperature, the result will depend on humidity levels. If you are sweating, it will help because of evaporation - some energy is absorbed for the phase change. If its really dry, a fan will only make it worse.