You didn't include a model number, so it's hard to know for sure - but I'll take a stab at this one. Many of these t-stats have a programmable offset to reduce "hunting". This can be as little as 1 degree or more than 2 degrees.

This means if you set the offset to 1 degree and the room temperature to about 65 degrees, the furnace will heat the room until the t-stat registers a rising temperature of 66 degrees. The furnace shuts off and will not turn on again until the t-stat registers a falling temperature of 64 degrees. The average is 65 degrees, and prevents the furnace from starting and stopping numerous times instead of just once with the 1 degree offset.

You can further reduce the number of furnace start and stops by increasing the offset to 2 degrees. This would work like this when the t-stat is set to 65 degrees and the room is cool:

Room Temp Furnace
63 On
64 On
65 On
66 On
67 On
68 Off

The room is now warm and heat or furnace is off. The room begins to cool like below:

67 Off
66 Off
65 Off
64 Off
63 Off
62 On

With a 1 degree offset, the room temperature varies +/-1 degree (about 2 degrees total). With a 2 degree offset, the temperature about varies +/ -2 degrees (about 4 degrees total).

Also, when the thermostat shut the heat off, the heat that was made is delivered to the space instead of wasted by sending outdoors - so the room will get a little warmer even though no fuel is being burned. The same holds true at the other end. When the t-stat turn heat on, fuel is burned, but there's little heat until the source has reached the optimum temperature and then the heat is delivered to the space.

I hope this helps & good luck! Pleas rate my reply - thanks!