Over time, wood dries out and shrinks. If you have wooden window frames in an older house, the wood might have shrunk enough to pull away from the caulking that seals in the window panes. Even if you have metal or vinyl windows, caulking snafus can happen, and the caulk itself could be old or misapplied.
Aside from letting the warm air out of your home, old or bad caulk can cause paint to peel and can let moisture into the window frame, which can lead to wood rot.
Recaulking an old window isn’t difficult. You’ll need a caulking gun loaded with the right kind of sealer (ask an employee at your local hardware store for a recommendation), a putty knife, some paper towels or rags that you can pitch afterward and a steady trigger finger.
Source: Cure for the Common Cold RoomPhoto via Dean in SF