The dust sticks to fans for the same reason that paper clippings stick to your ruler after you’ve rubbed it really hard against your hair: electrostatics. In a similar manner, the frictional forces between the fan blades and air result in a build-up of static electricity. If you don’t know about static electricity, watch this.
The foremost edge of the blade in the direction its spinning in, usually grows the thickest layer of dust because this edge encounters the most friction as it is the first direct contact with air and develops the most charge.
Diverse materials have diverse attractions to electrons. By rubbing a range of materials against one another and challenging their resultant contact with substances of known charge, the tested things can be arranged according to their attraction to electrons. This is known as the triboelectric series.
However, the charge induced in the blade can only exert a weak attractive force – these are called Van Der Waals forces. These forces should soon discharge of their dipole and the dust would just fall off eventually. But they don’t.
Why the dust doesn’t get off
Once the dust has settled on the blades of the fan, there is no force to push or throw the dust particles off the blades. Gravity doesn’t pull them off for the same reason that we have suspended particulate matter in the air: the particles are very light. The fan itself doesn’t push them off because the air around the blade isn’t moving. This is a consequence of fluid dynamics that claims that at the border the velocity of the air is 0 with respect to the blade – essentially, air around the plate is standing still. Also, when particles of a fluid are at a solid-fluid interface they experience stronger solid-fluid attraction (adhesion) than fluid-fluid attraction (cohesion). The fluid in this case being the dust particles flowing with the air, experience strong adhesion to the fan surface, just like they do to your table or computer screen.
You can read more about the No-Slip condition in this article.
This theory is not so prevalent but it may still be a contributing factor which is that in most cities and housing facilities today, there are tons of oils and other micro-particles in the air that adhere to dust and many stationary surfaces. These generally assemble in a thin sheet as they get caught along the leading edge of the fan blade making it adhesive and then accumulates dust. Furthermore, humid air can enhance the stickiness. This is the same mechanism that leads to your face getting dusty despite your constant moving and facing air friction; oils and skin sebum traps dust on your skin leading to what I consider my greatest nemesis: acne.