Unless it's something to do with the science of the piezo itself, the spark should be easier to produce at altitude. The breakdown voltage of air goes down as altitude increases and air pressure drops (this is why some aircraft have been manufactured with pressurized magnetos since the 30's).

Lighters that aren't adjustable can have trouble at altitude because there is too much fuel and not enough air in the mix.

I'm kind of now wondering if the person who told me this knew what she was talking about. It didn't make sense to me at the time, particularly since the Windmill is definitely adjustable.

Also, the highly popular Jet Boil stove (as well as many other brands of stoves) uses piezo electric ignition. If these piezo ignitions weren't reliable at altitude, why in the world would anyone put them is stoves used by backpackers, climbers, and mountaineers?

I guess, as they say, that the proof of the pudding is in the eating. Next time I'm up above 8,000' or better still 10,000', I'm going to have to fire my Windmill up and see how she does.

Hmm, something to think about.
Hacksaw is right about the breakdown voltage - simple physics. But that could lead to early discharge of the spark energy somewhere far away from the regular ignition spot (probably inside of the piezo module?). I do had ignition problem with my favorite piezo-turbo lighter at high altitude. No matter how the gas pressure wheel was set - just no spark over the jet opening... But I thought that's because of a high humidity in that place...

I don't trust lighters you have to add liquid fuel to. I had a zippo that would completely evaporate after a couple of days. Yes, the lid was closed.

I have a peanut lighter. My main problem with it was the o-ring. It's too easy to lose it.

I haven't gassed up my Windmill since I bought it, and it seems to have very little (if any) fuel leakage.

I'm going to definitely fire my lighter up next time I'm at 10K+ -- which may be a while since all four Nat'l Forests and the one high State Park are all closed due to fire danger right now. I'll post results when and if I get some.

How's about a drop of glue or something sticky?