We need oxygen to act as a final electron acceptor in the electron transfer phosphorylation and combine with H+ to form water. We need a final electron acceptor because if you don't take electrons off of a complex 4 in the electron transfer system then the entire system gets backed up and the electrons can't move from complex 3 to complex 4, or from 2 to 3, or from 1 to 2. This means you can't pump electrons and cannot create a gradient which ultimately means there is no production of ATP and without ATP you have no energy. So basically you need oxygen in order to create energy.
