My furnace works fine if I set the thermostat on Heat and On but if I set it on Heat and Auto the fan never kicks in. Is this a problem with the thermostat or the furnace?
Thank you:)

I would say the thermostat or wiring in thermostat, when you say on do you mean fan on, constant running?

If you turn the heat on with the fan in the auto position, go see if the burners ignite. If the burners come on and the fan doesn't the problem is going to be the heat fan relay or fan limit contol is bad. Once again model, brand and age of furnace would be of great assistance since there are literally thousands of different furnaces out there.