The furnace has a variable gas burner, and 3 stage variable blower. It runs on DC power, so it costs pennies a day to run vs. dollars a day to run.
The fan will run constantly at very low speed to circulate air, and when it needs to heat more, it will turn up to medium. 90% of the time it runs on Low or Medium, only the coldest days does the fan run on High. If I vary the temperature 5 degrees day/night, the furnace will have to play catch up to get you back at that higher temp cutting into your gas and electrical efficiency.
In the summer, it’s a bit different but having the fan constantly run will circulate the cool air the same way. And since it’s DC, it’s cheap.