Unvented fireplaces add to the pollution in your home. The fire consumes indoor oxygen and exhausts fumes, soot, and odors, back into your home. You breathe the end result of this.
Unvented gas fireplaces can result in as much as a quart of water released into the air per hour of operation. The moisture can condense on window glass, making it difficult to see out. More problematically, the moisture can find its way under carpet, leading to mold and mildew.
For these reasons, many builders will refuse to install unvented fireplaces in homes.