Furnace exhaust can be deadly because of the carbon monoxide that it contains. Carbon monoxide is a gas that has no color or odor, and because it is less dense than air, even a furnace in the basement leaking exhaust threatens the health of everyone in the home.
The reason why carbon monoxide is so deadly is that hemoglobin in the bloodstream cannot distinguish between oxygen (which it needs) and carbon monoxide (which threatens its existence). Carbon monoxide stays in the blood, rather than moving on to tissues like oxygen does, and it keeps any more oxygen from entering the bloodstream. This lack of oxygen in the body leads to suffocation.