xkcd

I forget what they are called, but there is basically a parachute on a rope that gets dropped into fast deep water currents to tow boats.

Since sailing requires you to push against something (the water) if that same something is the thing blowing in your sails it will just push you without really giving you much control. Instead if the currenents are a lot stronger deeper down it might work but then there's nothing keeping the sail downright(?) meaning without a comparatively heavy (because water is heavy) weight at the bottom of your sail you will likely capsize or more likely just be at an angle where you're not accelerating much.

Overall it seems at the very least impractical.