As others have mentioned, that's almost certainly a combustion air vent. Your appliances consume air from the utility room, and that air must be replaced, otherwise safety problems can develop.
There's a couple different things you can do about it.
Switch to all sealed combustion or electric appliances. This is what I did, 90% AFUE furnace has its own intake snorkel, and an electric water heater.
It's possible, though I don't know if it's allowed, to put a damper on the combustion air intake that opens whenever an appliance fires up. However this mechanism could fail, or pilot lights may consume too much air to close the intake.
Seal off the utility room. You're allowed to box the appliances into a tiny utility closet, if you follow certain rules (I think you need two intakes, one high and one low) and if you air seal it and insulate it, cold air won't get in to the rest of the house.
Combustion air vents are pretty terrible for home efficiency, my old 6" vent was passively flowing 100-200cfm at all times, including the dead of winter.