What happens if you never open your windows is you have stale air inside the house.
If you have an older home the house is not as airtight and so you do get some fresh air into the house even if you have the windows closed all the time.
But newer homes are more airtight meaning they don't get as much fresh air inside the house as the older homes do.
When you have stale air inside the home then it can cause breathing difficulties, mold, mildew, musty odors, and even the flu virus and cold virus as well as other viruses can linger in the house and infect you or your family more easily.
When sick you should always try to get some fresh air inside the home by opening a window a bit at least for 10 minutes or so per day.
You should air out your house at least once per week when it's possible to do so.
In the winter it can be hard to air out your house because you need to keep the heat in the house and the cold air outside.
However if possible turn the heat down for 20 minutes or so and open the windows or at least a window for 20 minutes and allow some fresh air to come in.
That helps to get rid of stale air in the house and bring fresh air inside which is healthy for you especially during flu season.
Being cooped up in the house during the winter means viruses can easily spread around and make you sick so by having some fresh air inside the house you keep that stale air outside.
When it's warm out but not too hot I always keep my windows and doors open as much as possible when home.
But when it gets too hot then I need my air conditioner and so I shut the windows and doors.
When spring comes though like now it's warm out I have my windows open to allow fresh air inside the house.