The temperature will rise.
The reasons are:
a. You will be burning your food and breath which will tend to increase the temperature.
b. The electric energy not 100% converted to create magnetic flux in the coil. Instead, some of the electric energy is converted into heat by the coil.
c. The fan blades are transferring their mechanical energy (pressure and kinetic energy) to the air to move around you. This motion of air will be taken to rest at some distance from the fan. While air is going to rest it loses the kinetic energy, converting it to heat by means of friction.
By all means, the room temperature only increases!
But why do you feel cold?
The airflow on your skin carries away the heat from your skin continuously (sweat is evaporated and this phase change draws heat from your skin).
This is the reason you feel chilliness when air flows around you.
If you switch off the fan then, you won't feel this chilliness but, you will feel warmness suddenly.