If you turn your heat completely off when away from home it will take longer to get your house back to a warm temperature when you arrive back home.
This will make your furnace run longer and work harder and use more energy to get the house warm again.
Another thing to think about is your water pipes in the house. If you completely turn your furnace or other heat source off then you risk bursting water pipes which will cost a lot more to get repaired and the possibility of a flood in your house as a result of those burst pipes.
If you want to save money then just lower your thermostat while you're away. Don't lower it too much keep it where the furnace will come on enough to prevent frozen water pipes.
I would lower the thermostat to around 50 or 55 degrees which will keep your water pipes from freezing.