No, the ideal structure should minimize heat loss from air exchange.
I'm not fully up on my air exchange rates, but it's fairly typical for ranges to be in the 4-20 range, that is, the interior air is exchanged with the exterior 4-20x per hour.
In my Thorsten Chlupp references elsewhere you'll find he makes extensive references to heat exchangers which minimize thermal losses. He does this by a twofold process for his Fairbanks, AK, homes: entering air is routed first through the ground where it's heated from very cold ambient temperatures of as low as -40C / -40F to a temperature closer to freezing (~0F). It's then passed through a heat exchange where the exiting warm air transfers much of its heat to the entering cold air.
The purpose of tightly sealed windows and other possibly entry/exit points isn't to eliminate air exchange so much as to control it: you want air entering and exiting through your designated ventilation systems and transferring heat properly, not traversing the envelope arbitrarily.
See:
Chlupp discussing this issue: http://www.greenbuildingadvisor.com/community/forum/general-...
http://www.engineeringtoolbox.com/air-change-rate-room-d_867...