Ironically, while your windows and doors seem to protect you from the elements, they are actually open invitations for cold air.
The U.S. Department of Energy estimates that heat gain and heat loss through windows are responsible for 25%–30% of residential heating and cooling energy use. That means even with your heater on, a good portion of that warmth is slipping right through the glass and gaps around your frames.
If replacing your windows isn't in the budget, there are ways to improve their efficiency. Caulking and weatherstripping can help seal any cracks or gaps around the frames, cutting down on drafts.