How long does the fan keep running after the burners go out and are the burners turning off when the desired thermostat temperature is reached or before that? Many furnaces will keep the blower going after the burner switches off to get every last drop of heat from the heat exchanger to boost efficiency. Newer furnaces will also keep the fan blowing much longer than that to circulate the heat around the house to avoid cold spots.
You have a problem though if the burners are turning off before the room temperature set on the theromstat is reached. Is this happening?
Also check that the fan setting on your thermostat is set to "auto" and not "on" if there is this function.
Be sure the filter is clean. Lack of air through the unit can cause these symptoms too.