Why are turbines attached to the buildings?

This is part of the film's "dystopian" look and feel, explaining how and why the city has power despite the lack of consistent infrastructure. In short, the turbines provide electricity to the occupied buildings.

Nicholson said that Burger was intent on demonstrating to audiences how the society was able to function. "One of the first things Neil wanted to show was how the city is powered," Nicholson said. "We ended up settling on having wind turbines and using them on the tops of some of the buildings. There already are a few wind turbines on some low buildings in downtown Chicago, and we just extrapolated from that and turned it into an obvious, visible way that the city was powered." _{^{Thewire.com : How the 'Divergent' Production Designer Built a Dystopian Chicago}}

and

Road surfaces are disintegrated and have become partially overgrown, street signs and lights and traffic signals are gone. There were no cars, and transport is limited to the Chicago L train and a few general purpose trucks. Neil wanted to show how electrical power would be generated and we settled on the idea of scattering hundreds of wind turbines across the facades of the higher buildings in the Hub. Cables carrying power from the turbines are strung up in the sort of semi-structured more often seen in a favela. Windows are obscured by generations of grime. We had fun developing one of the great visual ideas in Veronica's book that Lake Michigan is now a marsh spotted with the rusting hulls of beached ships.
_{^{www.moviefone.com :'Divergent' Production Designer's Diary: Bringing a Crumbling Chicago to Life}}

and

Giant wind turbines that generate power were added to the buildings, and cables were dressed to show that the city’s infrastructure was put together quickly and out of necessity.

“In layout, we placed the turbines via an instancing system that was created for quick placement and swapping out of the turbines,” Dessero explains. There were three unique models of the turbines, and each had three texture map variations. The cables were hand placed.

Some shots contain over 500 turbines, and hundreds of digital extras were added.
_{^{www.divergentnow.com: The Making of 'Divergent': Building Post-Apocalyptic Chicago}}

As to why they chose this (as opposed to solar or another power source), this is actually a play on the fact that the film is set in Chicago, otherwise known as the Windy City

“For electricity they harvest the wind of the ‘Windy City.’ There’s these large wind turbines that are attached to the buildings and these cables hung between them. I think just between having the silhouettes of them when you look up and having a few broken buildings and all those signs of life taken away just gives it a personality we’ve never seen before.”
_{^{www.divergentlife.com: The Making of DIVERGENT: Visual Effects}}

I reckon that they were to generate the electricity and the turbine is from parts of and old plane that they recycled the parts off and it's suppose to make the city look more recked up.