When coal is burned, it consumes oxygen and releases carbon dioxide. In insufficient amount of oxygen, the burning of coal releases carbon monoxide, a poisonous gas.
If the door is not kept open, the limited oxygen present in the room would be continuously consumed for breathing as well as combustion. In some time, the quanity of oxygen would become insufficient for the persons to breathe. In addition to that, carbon monoxide would be produced by the incomplete combustion of coal which may be fatal upon inhalation.