I think it's even simpler than that.

Back in my first year at university, I lived in halls of residence. We had no control over how the heating was set, and in the winter it was pumping max heat constantly. So almost everyone had their window cracked open 24/7, even if it was snowing.

And let me tell you, that felt truly luxurious. You get to be all toasty-warm while still enjoying fresh air, and a nice breeze. And you aren't the one paying the heating bill.

I suspect our animals feel exactly the same. They want to enjoy the smells and the freshness of outside, while still having the comfort of inside. From our perspective it looks like "whenever they are out they want to be in, and whenever they are in they want to be out!" but what they really want is both at all times.

Pets have no concept of "the heating bill" (or A/C if you're somewhere warm) so they don't understand why we insist on closing the door constantly, instead of letting them sit right in the middle like they want.