A device using the ofdm spectrum will have filters to receive the wanted signal frequencies but reject unwanted frequencies. These filters only have finite rejection. Interference can happen in two ways, at least.
1.The CW signal is so strong that it gets through the skirts of the filters.
2.The CW signal has sidebands (i.e. it is not really CW) (these may be noise sidebands) that extend into the ofdm bandwidth.
A strong signal can also mix with other signals in things like rusty metal joints to produce sum and difference frequencies that may be in your band.
Malcolm gave a satisfactory answer but i would like to stess that if you have such continuous nearby strong interferer you have to use a notch filter to eliminate it can overdrive the rf amplifier and may saturate it.
If you have a wide band rf front end that can pass such signal the situation will be very bad. You will have inter modulation distortion and amplifier saturation for very strong signals. Sure if it is not properly filtered it will reduce the sensitivity of the receiver as it at least will cause the introduction of distortion components which are superimposed on the original signal.
In fact the adjacent channel carrier must be made far enough from the intended channel such that the channel filter can attenuate it to the level of negligible effect of interference.