Cells can indeed respire - or release energy - without oxygen, using anaerobic respiration. Here, energy is released from glucose to generate a substance called lactic acid. This is a good temporary solution for our cells if the oxygen supply is interrupted, or if cells are respiring at such a high rate that the oxygen supplied can't keep up. However, lactic acid build-up can harm a cell: it reduces the pH, which affects enzymes and other cellular processes. Therefore anaerobic respiration cannot be used for a prolonged period of time without having damaging effects on a cell. To remove lactic acid, it must be oxidized to CO2 and water at a later point - and this requires oxygen. Of course, when sufficient oxygen supply is restored, aerobic respiration can be used, which doesn't produce lactic acid.