Why does an oven have an exhaust?

Not all ovens do. But if the oven is heated by gas or a hydrocarbon fuel then the products of combustion need to be taken out of the oven, potentially to the outside.

Also the air inside the oven will expand as it heats and the has to be a mean for the pressures inside and outside to equalise. There is therefore a small exhaust hole in ovens to allow this to happen.