He recently said this, after his wife's plane had to make an emergency landing due to smoke in the cabin:
"When you have a fire in an aircraft, there's no place to go, exactly, there's no – and you can't find any oxygen from outside the aircraft to get in the aircraft, because the windows don't open. I don't know why they don't do that. It's a real problem. So it's very dangerous.
1. Fires need oxygen. So adding more isn't a great idea.
2. Air in a plane is pressurised. Air outside is very thin. So if you open the window, all the air inside will want to go outside to equalise the pressure.
Here's a diagram of what happens if Mitt Romney opens the window of his executive jet: click to enlarge.