Some older natural gas furnaces have a pilot light – a small flame that burns continuously. Any sort of strong airflow could potentially blow the pilot light out. It could also go out due to dust buildup, a failed thermocouple, or other causes.
What to do
If your pilot light goes out, you can attempt to re-light it yourself. Start by clearing the area of any natural gas fumes that may have accumulated before following your furnace's manufacturer instructions.
Newer gas furnaces use an electronic ignition instead of a pilot light, but these parts can also fail over time or simply become clogged up with dust or dirt. No matter which type of ignition your furnace has, you should call in a professional if you suspect that your pilot light or igniter is repeatedly failing.