I installed an electrostatic filter in my cold air intake register in the ceiling. Now when the furnace kicks on or off there's a loud bang. Any suggestions?

I also have an electronic air filter in my system's cold air return duct next to the inlet of the furnace. Occasionally there will be a crackle or snapping noise but that is all.
Hearing a loud bang is not something you would hear from a (supplied 120 volt) electronic air cleaner. They use little current but are high voltage from a transformer and miscellaneous electronics within the unit.