As long as the energy use is happening, the waste heat is occurring in the same room. The warm air of the PC might be re-directed to hit you directly if you wanted that, but you would have to be pretty close to not also get the air movement causing a cooling effect to the skin.
Honestly, running my gaming PC in a room with a closed door is more than enough to heat up a room to above comfort levels, almost year round. In my youth I used to crack two windows and get a cross breeze going to evacuate the warm air.