Your car has a heater core. Engine coolant circulates through it, and the ventilation system puts air through it to pick up heat from the engine coolant. It works like an invese liquid-to-air intercooler. Instead of the air going through it putting heat into the coolant, the air takes heat out of the coolant and then is pumped into the cabin. Turning on the heat always passes air through the heater core. If you take in fresh air, you suck outside air through the heater core then into the car, and the recirculate sucks air from inside the car, passes it through the heater core, then puts it back into the car. Skipping the heater core wouldn't accomplish much of anything.