||Not necessarily. The flow of air thru a furnace not only warms the space, but also cools down the furnace itself. A temperature sensitive control is mounted inside the furnace and determines when the blower should come on to keep the furnace heat exchanger cool.
This works not only when the burner is firing, but also when there is residual heat inside the chamber.
If, on the other hand, the burner cycles on and off while the thermostat is NOT satisfied and the blower continues to run; then a larger more serious problem may exist. Too much heat inside the furnace will stop the burner from firing while allowing the blower to run. This is usually a symptom of a dirty filter or under sized ductwork. In the long run, this will limit the life of your furnace and cause it to fail prematurely.