First, there's a lot of bugs in the world. Second, many bugs get through gaps/holes in window screens. Plus houses have gaps that aren't air-tight and bug-proof. Trust me, the amount of bugs would be shocking to you if you haven't lived in that kind of area before. We even got the occasional snake indoors (maybe once a year or so)!

Basically screened in doesn't mean bug-proof, unfortunately. You might be thinking of mesh bug nets which are very fine and do provide more protection.