Burning oil, natural gas, and coal emits pollutants into the air.
The atmosphere of the earth naturally helps to keep the planet warm. This is one of the characteristics of Earth that allows it to sustain life. All energy on Earth originally comes from the sun. The sun's electromagnetic radiation (UV light, visible light, etc) reflects off of the surface of the earth and is bounced back into the atmosphere. The atmosphere, in turn, bounces the radiation back towards the surface of the Earth. Thus, the all the heat energy from the sun is not lost to space.
However, when there is a surplus of greenhouse gases, such as those emitted from the fossil fuels mentioned within your question, the sun's radiation is not just bounced back and forth between the earth's surface and the atmosphere. Instead, the gases absorb the heat and cause less heat to be lost to space. This causes abnormal heating of the planet and is called global warming. This change in the climate of the planet causes sea levels to rise, ice to melt, and species to migrate to cooler areas and even go extinct, among other things.
I would like to say that those of coal, natural gas, oil etc. are called the fossil fuel as they have resulted from the fossils. They are basically the organic compounds containing mainly C and O atoms. It also contains Nitrogen, sulphur and all other constitutents. Now when they burn, the part of them result into the smoke and containing various other newly formed constituents.
These constituents stay suspended in the atmosphere and capable of emitting heat increasing globe's temperature.
Out of the three, Natural gas causes less of the pollution but it does.
Thus this is how it concerns us.