It is very important that your furnace has a filter installed to protect yourself from the dirt in the air. A clogged filter means an inefficient filter, resulting in health problems for individuals breathing that air and damage to the furnace.
The filter has the purpose of catching air particles and dirt in the air before it enters the furnace.
The dirt that gets on the furnace parts will slow down the furnace efficiency or even stop it. The furnace may not start because of the dirt on the coils; the same thing could happen to the blower motor. All this will eventually lead to the wearing out of the furnace.
The solution to this problem is to change the filter every three months at most. In case of allergies or pets the filter will need changing every month. There are also washable filters that only need to be washed regularly. Otherwise you will need to replace it.