Question

why it is advisable not to shut all the door and windows during a storm

Answer 1

If a tornado or damaging winds from a storm is imminent or approaching your house or building, it is advised to seek shelter rather than shut or open windows and/or doors. If a tornado or even straight-line winds occur at your location, they will do damage no matter if the windows or doors are shut or wide open. 

Even if the windows and/or doors are closed during a storm, debris from a tornado or straight-line winds can blow into them and can break the glass or push inwards on doors. Because the pressure typically drops creating a sort of vacuum and your windows could explode outward.