Joe is correct. As for the waterheater...unless its a direct vent unit,
it wont have a fresh air duct coming to it for combustion ; but, the
closet is going to need combustion air for both the water heater and
furnace burners -- there should be an opening ( a grille perhaps in the
wall/ceiling of the closet) which will let air transfer in as its being
used for combustion of these appliances. Until youre sure there is
one..crack the door at least 2-3 inches. It is national code that there
must be a source for combustion air intake otherwise, the burners will
starve for air and 'could' start to roll out of the furnace/water heater
making an unsafe situation. If in doubt, call the village inspector
and register y our concern about this, then, he will come out .