Check to insure the ducts are wrapped with insulation. If they leak this is wrong. The wind is causing infliteration into the house probably and not into the duct. The furnace should not be on when not heating. This is ok for AC, but not heat.

Ahhh, if the furnace is on but not running then the furnace is not on,,, it's off. But if it's off and running it's probably not a furnace at all. Horses can be off and running,,, maybe what you feel is the breeze created as the horse is running by. Hmmmmm? :-)

Thank you for the help Bob. After opening and checking all the intake vents, I found that someone, in their supreme intelligence, had partially bent a steel sheet that acts as a barrier from the outside air into the intake duct. They did this to pass some wiring. Once that was re-sealed, no cold draft and the house stays warm.

Funny, funny mr havac. This furnace is a horse - the way its been running the last two years ( and who knows for how long the previous owner had it like this - what a bozo!).

Hey Zeen, mine is like that cold air blow out from the ac return vents when my thermostat is off mode. It makes my living room and bedroom sp cold. Please help.