Why does your 2.7 diesel terrano have a burning oil smell when driving only when the window is open There are no oil leaks or spillages onto the exhaust and it does not use oil?

Why does your 2.7 diesel terrano have a burning oil smell when driving only when the window is open There are no oil leaks or spillages onto the exhaust and it does not use oil?
Well if I had one with that problem I would look closer cause it is leaking on the exhaust somewhere.