When the furnace turns on there is a loud gurgling sound that comes from the tub drain. The tub is on the other side of the wall where the furnace is. There is no sound in the closet where the furnace is just in the tub. What is this? Should I be concerned?

A couple of questions:

Is this a new problem or has the problem always existed?
Is there any piping from the furnace located close to the drain from the tub?


Check:
Check to see if your furnace has a condensate line connected to the drain. Some furnaces have a pump that pumps moisture in the system outside but some homes may have it plumbed into your drain line. If that's it you may need to have it re-routed somewhere else to get it away from the drain. Sound travels very well in water, and there is always water in the trap under the tub.

This is a new problem this season. I am not sure if there are pipes as the furnace is in a closet which backs up to the wall where the tup is. Yet, the sound seems to be coming from the tub drain. Is this something that can be fixed easily?

If it is the problem I'm describing it shouldn't be. I'm not an expert but I would first look under the floor and trace out where the drain line under the tub is going. It has to be going somewher near the furnace piping OR the sound from the furnace/furnace piping is being transmitted to the drain. Does it sound like the water is bubbling? Or is it just a noise from there? If it sounds like bubbling then I would look for the condensate drain from the furnace. There may be a problem with it.

Yes it sounds like water bubbling. I will look at the condensate drain and see if there may be an issue. Thanks for your help.