Matthew 14:30

‘But when he saw the wind, he was afraid, and beginning to sink, he cried out, saying, “Lord, save me.” '

However, having bold faith while standing in the boat was one thing, maintaining it in the face of a strong wind stirring up the waves was another. And he was suddenly seized with fear and began to sink. As usual he had taken on more than he could cope with. We are left to surmise that if there had been no wind, there would have been no problem. The description ‘saw the wind' (i.e. the effect that it was having) indicates that he took his eyes of Jesus, and that that was when his problems began. Up to that point he had only seen Jesus.

Then Peter called out, “Lord, save me.” But note that there was still faith there. He might not be able to trust himself, but He still knew that the Lord could save him. He knew that the Lord had no fear of the wind.