Filter malfunction on the thermostat. I put batteries in and thermostat now reads temp but heater does not go on

Filter malfunction? If a filter is dirty enough it can keep your system from running at its peak performance and at times can open limits. Air filter indicators on a thermostat are just equipment run time timers. Its to let you know the equipment has ran X amount of time and its time to check your filters but it will not lock out your equipment for this notice. But with that said I'm not for sure-- You gave no info of your system or thermostat.