Transferring materials between cells and the blood (above) is half the story. Transferring materials from the exterior of the body to the blood and the reverse is the other half. The following video provides an animated picture of how the structure of lungs facilitates a transfer of oxygen and carbon dioxide between the outside air and the blood. Note that a capillary bed surrounds each of many millions of alveoli in a typical lung.
Explore the cellular structure of other organs and you will find similar transfers between the exterior and blood in capillary beds.