They told my parents the same thing when they built their house last year. They have a big walk in closet on the wall that faces the front of the house and they made them put a window in it, even though it isn't a "room" either. Inside it looks dumb, but outside it looks right. In your case that room is more like a loft or dormer or whatever they want to call it, so technically when selling it, it could be called a bedroom rather than a den, which is better for your resale value AFAIK.
