It's blowing air from the burner out the vent. This is continually pulling cooler air from the room around where the WH is, and throwing it outside. That air must be replaced, so during the cooling season, it's dumping air you've paid for to cool, during the heating season, it's dumping air you paid to heat. In both cases, it's pulling air in through cracks or other openings in your house.
It should only run while the burner is on, and for a short time afterwards, then shut itself off. A more ecconomical version uses closed combustion, and would have an additional pipe pulling in air from outside so it doesn't suck air from the house.