I waited to see if any experts chimed in before posting. I'm no expert on furnaces, but i do know a little about airflow.
Anytime you put an obstacle in a flow environment, whether liquid, or in your case air, you will either speed up, or slow down the flow. In this case, a filter media may slow down airflow in the heating chamber and cause the furnace to overheat. I"m not saying this will happen for sure, just logically speaking.
Paul