Doesn't a furnace suck air into the house. Unlike AC that cools the same air, the furnace uses house air then expels the combustion gases through the flue and heats the house via a heat exchanger.
New air has to come from someplace. It's gotta come from drafts and ever time a door is opened.
Edit: @Miller535 beat me to it
I think a furnace does both. Your furnace definitely recycles are also and uses your houses cold air returns, but it also brings in fresh air also. It has to when it's exhausting itself.