There can be few reasons why the furnace is running. First it needs to be determined if the burner or element is staying on also. If the burner or element is still on, the problem could be with the thermostat. Try setting it to a lower setting or completely off. Depending on the type of heat, it could also be a stuck relay. If only the blower is staying on, it could be a stuck relay or limit. I recommend having a technician check this. Furnaces can be very difficult and if not set properly, they can be dangerous.