Water vapor is always dissolved in air. And warm air can hold more water than cold air because it has a greater volume. In winter and spring the average temperature is lower than in summer, so there are fewer grams of water, as water vapor, in the air. When this cold air warms up (due to the heating), its volume grows and no moisture is added. So the relative proportion of water in the air decreases and the air becomes drier.
How do I know if the air is too dry?
The air in the house is usually too dry in winter. The relative humidity is about 30%, while 50 to 60% is ideal. If you experience a dry cough, dry eyes, headache or other symptoms, it is likely that the humidity is too low. To be sure, you can use a hygrometer. This measures the humidity. Do not place a hygrometer on an outside wall or near a window, as the humidity is higher here. That would give a distorted picture.