warm air

A nearby college includes a building, surrounded by an  
outdoor arcade, at street level. At one point, the warm  
internal air is expelled, which is natural, they perform  
continuous circulation. A nice spot, on a cold night!  

However, I wonder, is there any hazard in breathing that air?  
Is it chemically processed somehow, contaminated?  
  
And, isn't it inefficient? The outgoing air ought to  
pass through a heat exchanger, to warm the incoming air.  
Isn't that wasted energy?