Newer furnaces often have a cycle that runs the fans to clean and refresh the air around the house, without running the heating elements. You can turn the fan between Auto and On at the thermostat.
You may also live in an area that mandates a furnace with a humidifier of dehumidifier, based on climate of here you live. in that case, the furnace may be adding, or removing moisture form the air, and not need to heat the air at that moment.
On the worst, id suggest the furnace was out. but, if the house is warm, i would say this is not the case.
cheers.