Especially when it is -15 degrees F. outside?
This is a discussion that almost always comes up with home buyers, either on a detailed viewing of a home or during a home inspection.
Systems that bring in this air are typcially called make-up-air systems or outside combustion air systems.
And they are a building code requirement on newer homes.
And as I write this the make-up-air system in my home is pulling in lots of frigid outside air to my furnace room.
And this is the way it should be.
The steel triangular device here is a vent bringing in outside air. (Yes, that is ~15 inches of snow on the ground.)