Your thermostat might be shorted out. Remove one of the wires off of the stat to see if the furnace will shut down that way.
No it will not
fan on my furnace will not shut off. smash it up then
A heat pump will do this, a furnace should not. Are you sure you have a furnace?
have baseboard heat boiler runs off furnace want to shut off furnace to save oil will it hurt anything
Yes. It should be a dedicated circuit from the distribution panel. There should also be an emergence shut off switch outside of the furnace area . This switch allows you to shut the furnace down from a remote area if a malfunction occurs at the furnace.
turn breaker off. unhook thermostat wire to furnace turn breaker on. worth a try; if it works you will have to turn off breaker to shut it down.
check the headlight/multifunction switch
Set thermostat to desired temperature; lets say, 70 degrees Fahrenheit, a few seconds will go by then the furnace should activate. Once the furnace heats the room to the set temperature the furnace should shut off.
so when the pilot goes out the gas valve is shut off
why wont the ac compressor shut off stays on on all settings
That's called dieseling, and the main thing that causes it is improper ignition timing.