We investigated the Baldwin effect of He II lines in Wolf-Rayet stars. The effect has been observed in LMC Wolf-Rayet stars and shows that the equivalent width of certain emission lines is inversely proportional to the monochromatic continuum luminosity at the line wavelength. We used model atmospheres to investigate this phenomenon. Synthetic spectra were used to compare the results with observations. We found that the mere existence of the relation between equivalent width and continuum luminosity is mainly determined by differences in wind density among stars. The effect is present over a wide range of the main stellar parameters, for both optically thin and thick spectral lines. The slope of the relation was found to depend on effective temperature. We think the Baldwin effect can be used to accurately determine the distances of Galactic Wolf-Rayet stars and to determine the mass loss rates of stars of known distance, e.g. in the LMC.