Answer
There is nowhere for the heat removed from the air to be expelled other than back into the room.
Work Step by Step
The “in-room air conditioner” takes in work to enable it to remove heat $Q_{L}$ from the low-temperature region (i.e, cool the room). By conservation of energy, there must be a place where this energy is going, i.e., some heat $Q_{H}$ must be exhausted to a high-temperature reservoir, and $Q_{H} \gt Q_{L}$.
In the short run, the heat might be going into a heat sink such as an ice block hidden inside the device.
However, in the long run, the “in-room air conditioner” becomes warmer than the room itself and heats up the room.