The fan will not shut off unless I shut off the gas switch . Just changed the thermostat only cold air is coming out Any ideas

Post model # of furnace so's we know what we're dealing with. Check for a low voltage fuse on the furnace circuit board (if equipped)-may have blown during thermostat replacement.

KC 13 is right in what he suggested, the furnace blower will blow if the 24 volt circuit has blown the 3 or 5 amp fuse. It will do the same thing if the transformer has been shorted out or lost voltage.