A furnace is basically a recirculating air pump; it draws cool air from all the rooms in your house that have a return vent and pumps hot air into these rooms through the heating vents. If you cover the return vent in a particular room, that room won't get as warm as the others.
It's About Air Pressure
The furnace sucks air through the return vents, which lowers the air pressure in the rooms in which the vents are located. Air comes into these rooms through the heating vents to equalize pressure, creating a circulation that warms the rooms. If a particular room has a heating vent, but no return vent, it won't get as much hot air from the furnace because the room is already full of air that isn't going anywhere.
Blocking a Return Vent
If one of the rooms in your house gets too warm when you turn on the furnace, a good way to lower the temperature is to cover the return vent. This will direct the hot air from the furnace into the rooms with open return vents, warming them more. Some return vents have adjustable louvers for this purpose. It's important not to close more than one or two at a time, though, or the furnace might not have enough air to circulate.