Air Carrier Captain reported they turned to left heading 040 after takeoff; but had been instructed to turn right heading 040 during departure from ORD airport.

Narrative

On takeoff from Runway 28C I was taxing plane into position for the First Officer (FO) to take-off while at the same time they were reading back the takeoff instructions which were to turn right to a heading of 040. At 400 ft. I began to turn the heading bug left 040 in which the FO; Pilot Flying; began the turn left. ATC says; Aircraft X looks like you're turning left; you were told to turn right'. I immediately turned the heading bug right 040 and we were told to contact Center. We thought nothing of incident because Tower did not give us a number to contact afterword. I was instructed by a safety representative to make a report of possible pilot deviation. I believe some factors contributing to turning the heading bug left instead of right was the windy takeoff roll and not being the one to read back the ATC take-off instructions. Once airborne and out of tail strike zone; I turned the heading bug left; which is what 4 out of 5 times I always do departing from Chicago with west flow. Before I would type it in FMS scratchpad or put the heading bug to the instructed takeoff heading as to not cause deviations. Especially doing a turn heading turn 130 degrees to one direction. Very simple fix. Write down all initial headings after take-off on a piece of paper and also confirm with other pilot what the correct heading read back was."