How can I find how insects are getting into my house?

I have a problem with insects getting into my house which is strange because I have a modern, well-made house with air-tight construction and high-quality insulating windows.

Nevertheless one type of bug I consistently find in the house are leaf-footed bugs. I find them in three rooms: the master bath, one of the guest baths and the study. The study is on the opposite side of the house from the master bath.

I know that these bugs can flatten themselves and fit into narrow spaces, but the windows seem absolutely tight to me and I cannot understand how they are getting in through the windows, if that is where they are coming. How can I figure out their point of entry?