Why is it that my furnace won't auto turn off it keep running even if I turn it off by thermostat.

I got heat but the heat won't turn off.

Sounds like you have either a bad thermostat, the thermostat wires are shorted, or the heat relay in the furnace is stuck closed. Try disconnecting the thermostat wires from the stat. If that fails to shut the heat down, disconnect the thermostat wiring from the furnace. If still no success, the control is probably bad.