Iron is used to produce red blood cells, which help store and carry oxygen in the blood1.
If you have fewer red blood cells than normal, your organs and tissues will not get as much oxygen as they usually would1.
References
1:http://www.nhs.uk/conditions/Anaemia-iron-deficiency-/Pages/Introduction.aspx
2:https://www.who.int/nutrition/publications/micronutrients/global_prevalence_anaemia_2011/en/
3:https://www.thelancet.com/clinical/diseases/iron-deficiency-anaemia
4:http://www.who.int/nutrition/publications/en/ida_assessment_prevention_control.pdf