Furnace implies forced hot air? How old is it? Has it been cleaned and filter replaced etc? What kind of thermostat? How old is it? Did the problem start suddenly or gradually?

Hot water heat/ base board heat... We just changed the heat pump and the expansion tank 2 weeks ago... Its started this winter season, only noticeable when is like 20 outside, It's a digital thermostat about 2yrs old

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So it's a boiler, not a furnace. Key questions: do you have it serviced once a year and how old is the boiler and how old is the burner?
Did you really put in a new expansion tank, or what do you mean by change it, and why?

One quick possible reason is air in the pipes. Find a valve somewhere in the first 10' out of the top of the boiler and open it until water comes out. If air comes out first, that's your problem. What does the altitude read?
Air building up frequently could mean a tiny leak in a pipe somewhere. Examine all baseboard very carefully, because it can leak into the wall rather than into the house.