It's a nearly universal truth that sleeping comes easier with a fan on. Keeps the air circulating, keeps you cool, the room feels less stuffy, etc etc etc What I'm saying is fans are the bees knees. Except APPARENTLY NOT.
Things that happen to you when you sleep with the fan on:
1) Your muscles get stiff and achy because of the constant cold air.
2) Since the blades are probably dusty, you're breathing in allergens all night. That causes you to wake up feeling sick and gross.
3) Your sinuses get dried out from the air, potentially causing sinus headaches.
So basically, fans blow. Pun intended. Obviously. But we also know we're not about to stop using them because we're humans and as a species are really not built to last. Remember planking? People died from that. Evolution was never fool-proof.
Anyway, since you're still going to use the fan, this is how you can lessen the side effects:
1) Don't point the fan directly at your face or body
2) Get an air purifier so you don't have as many allergens flying around
3) Clean your fan blades