Heating systems will be working harder than normal during these freezing temperatures and subzero wind chills. Furnaces may not shut off as much as they normally do during an automatic cycle. Heat pumps may not shut off at all. When temperatures get down to subzero, heating systems have to work that much harder to get homes up to temperature.
Keeping your filters clean will help the air flow through your system and will allow your furnace to run more efficiently.