The problem is that they're exaggerating the pressure difference. After all, you don't need a space shuttle decompression chamber each time you leave your house in a storm -- and your fleshy body is a lot less structurally sound than a house. So if a storm isn't sucking the eyeballs out of your head, Total Recall-style, there's really no chance it's going to tear the roof off your house. It's the 150-mph winds that do that.
Also, it's not like your house is airtight anyway. It isn't like an airplane, which needs to have oxygen pumped in continuously to keep you from suffocating; every house has little holes and openings that allow air to move through, so opening your window during a storm isn't doing anything that the faulty siding or misshapen door frame weren't already doing.
Including lowering your property value.
Actually, that's not true: Opening your window is allowing flying debris to come whipping into your house to rip your fucking face off. That's why opening a window during a storm, especially a hurricane or a tornado, is extremely dangerous. Most storms are a little like vampires in that they can't really get into your house until you invite them in, but once you open a window or crack a door, all manner of wind, rain, and debris that would otherwise be hitting the outside of your house is now swirling around your living room, too.
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It's a good way to get pets, though.