Most home furnaces are designed to come on when the temperature in your home falls to a certain degree and stay on until the temperature rises back to your ideal level. If your furnace is coming on and isn't turning off, you need to investigate the issue, as it could end up costing you excess money on your utility bill at the end of the month. A furnace could potentially not turn off for a few different reasons.
Replace your "furnace limit switch." This is a small component on your furnace that basically tells it when to operate and when to turn itself off. Turn off your furnace completely (including shutting off the gas line) and replace your furnace limit switch with a new unit compatible with your specific make and model number of furnace.
Check the wiring to your furnace's thermostat. The thermostat is the device that controls the temperature that the furnace is set at and plays a large part in when the unit comes on and turns off. If your thermostat is wired incorrectly, this could explain why the unit refuses to shut off. Check the wiring manual that came with your furnace to see exactly how the wires should be hooked up based on your model, and make corrections as needed. You can also try replacing the thermostat altogether.
Check to make sure none of the controls or buttons on your furnace are sticking in the "Down" position. Turn off your furnace completely (including shutting down all electricity running to the furnace as well as turning off the gas) and examine its controls. If a particular button is sticking down, use your fingers or a pair of pliers to try to pull it back up again. Stuck buttons can cause your furnace to not shut off properly and will eventually need to be replaced.