When you speak to anyone you are usually having three conversations at once. The first is what is included directly in the words you're delivering.
The second is the intentional subtext. We convey a lot of information indirectly in how we say things. If I tell you a building is on fire, the first convesation is literally passing along information that the building is aflame. Depending upon how I say it, those words could also be meaning to tell you, "You need to get in there and save your stuff" or "You can't go in - I don't want you to get hurt."
The third conversation is what you reveal that you did not intend to reveal - but is true. "If my subtext was "You need to go in there and save your stuff", I might be unconciously revealing to you that I'd rather risk you getting hurt than see your board game collection be ruined, or I might be unintentionally revealing just how much faith I have in you to be able to navigate such a dangerous situation. Unfortunately, this third conversation isn't a very clear form of communication and people often hear things that are not actually being conveyed and are not true.
For example: "For the last time, Telling you that you look hot in that outfit does not mean I think you're ugly in the thing you wore yesterday."
As a DM, we need to be aware of these three conversations, be in control of the first two, and manage the third.
We need to be ... intentional ... in what we intnetionally tell PCs - both directly and indirectly. Then we need to listen to how they react to us and realign what we've said to address anything they seem to have picked up from the unintentional third conversation.
How does this apply here?
OP told the players about the window and clearly said he was not suggesting they should try it. That could mean a lot of things. So let me go over how I'd handle the situation. I use words to convey hints of danger .... and double down on it when the player seems oblivious. When I give a passage like the below, the first conversation is the description. The second conversation is hinting that there are traps and dangers. The third conversation isn't in my control, so I have to listen to the player and see how I need to react to what they're hearing that I did not intend to convey. I tell them what they see, hint at dangers indirectly, and then realign when they seem to be drawing conclusions I did not mean to imply.
Me: "Your gaseous form isn't finding any gap in the magically sealed main door, or any cracks through which to enter on the bottom level. However, your perception check noted that there is a dark window halfway up the tower. It would be a pretty good fall if you fell while entering it, but you believe you'll be able to pass through it in your gaseous form... unless this wizard took precautions."
Player: "Cool. I'll puff up there."
Me: Rolls dice. "As you approach you pick up an acrid smell floating out of the window, as if something recently ... burned, perhaps? Or maybe there was some chemical reaction? You're not sure, but if you had a back of a neck right now, the hairs on it would be standing up. It is dark inside, but as you glance in you can see the outline of a circular staircase going up and down, although the curve of the staircase that runs around the outside wall of the building prevents you from seeing any exits. You also detect the faintest glimmer of light, as if there is something glowing softly inside the tower - right beneath the windowsill."
Player: "No guts, no glory. I waft in and see what is glowing. Gold?"
Me: "Brave soul. This time ... it seems to have paid off, but not in gold. The glowing comes from a hooded lantern that is currently covered and resting on a small stone shelf along the wall. You notice that everything in this corridor is either stone or metal. That acrid smell is stronger now that you're inside. It is not enough to damage your gaseous form, but you wonder if you'd be so lucky in your normal form."
Player: "Right. I need the rest of the party, then. I float down the stairs to the bottom level - do I know which direction the door would be in?"
Me: "You're thinking about the door's location ... and realize that it kind of doesn't matter at the moment as there seems to just be one exit from the staircase at the base of the tower. It is a large door with a metal security bar on this side of the door. The bar seems to be intended to keep people from entering from the other side. The bar, door and much of the floor in this lower staircase is covered in some sort of grey dust. Footprints in the grey go back and forth, up and down the staircase.
Player: "Cool. We'll figure that out once I get everyone inside. I try to slide under or through the door."
Me: " ... and need to roll a Dexterity Saving Throw (with advantage from gaseous form). As you're wafting down towards the door you seem to have set off a trap somehow - something your passive perception did not pick up."
Player: "Uhhh ... 13."
Me: "The entire hallway bursts into flame and you take 26 fire damage. The explosion is heard very clearly by the party below. You still have an action and half your movement left - but you're in feet down from the window and 10 feet from the door at the bottom of the staircase. You've seen no other exits from the hallway, but you could not see the top of the staircase from the window. However, you instantly hear the sounds of movement from the top level of the tower and the first level."
