Why does both the a/c and furnace go on at the same time when the thermostat is set on "heat"?

Do you by chance have a heat pump?
If that's the case, the heat pump unit is also the air conditioner. When you set it to heat, the unit outside expels cold air instead of hot air and the unit inside expels hot air. In the summer time, it's reverse.

That's be best I have in laymans terms.