If you wear it up, the weight is going to pull on your scalp, which is (obviously) attached to your head. When I got to my 30s, I cut my long hair because I had young children and so always had it back/up, and my skin began losing its elasticity, so the effect of the weight on my scalp was worse, bringing on headaches. Now, wearing a hat tight enough to stay on in the wind also gives me headaches.
If your headaches are migraines, Imitrex is a prescription medication that stops them in their tracks without stopping you in yours. Hmmm...if they decide to use that for a tv ad, they better give me some royalties.