Leaving the furnace set at a set temperature to keep your house above freezing when gone can save you money on your heating bills plus keep your pipes from freezing in the house.
If you shut your furnace down completely then you'll have to restart the furnace and get it going again and you risk freezing and bursting water pipes in the winter.
What I do is set my thermostat to around 55 F when I'm gone to work and then when I return I turn it back up to 70 F which is what I like my house temperature at during winter.
This saves me money and keeps my pipes from freezing.