Vents in the walls- I'm freezing!!

Hi, I bought an older house recently and there seems to be a wall vent in almost every room. There is just a simple plastic covering on the interior and there are grills on the exteriors which can be slid open or shut. The only thing is, even if they are slid shut, the wind is still blowing through them. On certain windy nights, I basically feel like I'm outside, as there is so much cold air blowing though them. I know vents shouldn't be blocked up as circulation is needed. Does anyone know if there is something that can be put into the holes in the wall that allow the air to circulate but not for the wind to just blow through? Thanks