Step 1: Understanding the Concept
A heteroatom is any ring atom other than carbon.
Step 2: Check each compound
Furan has one oxygen in a five-membered ring.
THF (tetrahydrofuran) has one oxygen in a saturated five-membered ring.
4H-Pyran has one oxygen in a six-membered ring.
Pyrrole has a nitrogen atom as its heteroatom.
Step 3: Conclude
Pyrrole does not contain oxygen as the heteroatom.
Final Answer:
Pyrrole has nitrogen, not oxygen, as its heteroatom.
\[ \boxed{\text{(D) }\text{Pyrrole}} \]