There are 3 main reasons to change your furnace filter.
1. You are spending money for the gas or electric bill, so you want that heat to go easily to the rooms of your house. Changing the filter enables the heated air to move more easily.
2. If you don't change the filter and the heat remains near the furnace, then the parts of the furnace over heat and break sooner. These are expensive repairs.
3. Installing a new filter may catch more dust and make the air better to breath.