If your thermostat is newly installed and the boiler worked with the previous thermostat, check the following:
1. Verify that the thermostat is set to heat and is calling for heat, usually indicated by the words "heat on", a flame icon, or a shimmering sun icon. If the room temperature is below the heat set point, the thermostat display should indicate a call for heat.
2. Confirm that the boiler power switch and circuit breakers are on.
3. Ensure that the wires are matched correctly and securely connected at the thermostat. The boiler should be wired to R and W at the thermostat.
If the same issue occurred with the previous thermostat, then the problem is most likely with your furnace. Call a professional HVAC contractor if the above steps don't solve the issue.