When you fly in an aeroplane …

Aeroplane flys at much higher altitude than the helicopter. Therefore the decrese in air pressure in case of aeroplne is much more than helicopter at which they fly. Now we all know that inside the aeroplane we need to maintain the atmospheric pressure to keep all our biological systems properly. so an equillibrium of pressure is maintained there. if the doors and windows are opened that equillibrium will be disturbed and hence the situation can be fatal.

Since Helicopter can rise only upto a certain level where the air density is lower but not fatal for us so no air pressure equillibrium is maintained. Therefore the doors and windows can be open

Moreover drag caused by the air is much more in case of aeroplane than helicopter because the former runs in much faster speed than latter. This drag also hamper the functioning of the system of an aeroplane. so the windows are closed. Since the drag in case of helicopter is not much so it doesnot affect the working of a helicopter.