While some people may think of furnace filters as nothing more than an air purifier, they are actually a necessary part of your heating setup. In fact, you should still use an air purifier if you're concerned about air quality.
Your heating system is blowing cold air. It's starting to feel as cold inside as it is outside. If your furnace is blowing cold air, you could have one of several HVAC problems:
Someone in the house may have adjusted the thermostat. Take a moment to check it. Make sure it's set for heating, not cooling. Verify the thermostat is set to the desired temperature. You wouldn't believe the number of HVAC calls we get where the only problem was a thermostat not set properly.