Why do candles need oxygen to burn?

When any item burns, the reaction involves the consumed material and oxygen, so without oxygen, candles (and any other objects) do not burn. In a closed system without air flow, a candle's flame consumes all of the available oxygen before extinguishing.

One common scientific experiment involves putting water in the bottom of a plate, setting the candle in that plate, lighting the candle and then covering the candle with a glass. Over time, the level of the water rises because the candle consumes the oxygen gas inside the glass. The drop in gas pressure allows the water to rise inside the glass.