All of the windows on my house are considered energy efficient. However, even the most highly rated doors and windows will still leak air a little bit due to the fact that windows are made to open and close and the builder had to cut a hole in the wall to install it. Not to mention, most usually have thin brush weatherstripping ( brush pile weather strip looks like this ) which in my opinion is utterly useless. (Disclosure: I am including affiliate links in this post for your convenience.)
Or at least the stuff on my windows and sliding patio door proved to be when the candle flame I carefully ran along them danced a crazy samba indicating there was air leaking through the brush weather stripping instead of stopping the air from escaping which is what weatherstripping is supposed to do.
Tip: If you do not feel comfortable putting an open flame next to your windows and doors due to the potential fire risk, you can check for air leaks by running a stick of incense (you can buy incenses sticks here) or a smoke pen (learn more about air leak detecting smoke pens here) around the area where the door or window and the wall meet. If the flame/smoke moves in the slight breeze it is leaking air.
I also had air leaking around my sliding patio doors, exterior doors, and surprisingly under the doors to the closets on exterior walls. This is something you really want to fix because warm heated indoor air is drawn to cold outside air (and vice versa during the summer months) which means your heating or air conditioning system needs to use more energy and work harder to maintain the indoor temperature you set on your thermostat – which is why your heating or cooling bill is so high.