If your thermostat is newly installed and the heat 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. Ensure that the furnace door is closed.
3. Make sure that the furnace power switch and circuit breakers are on.
4. Verify that the wires were matched correctly and are securely connected at the thermostat. If there are not separate wire connections to R and Rc on the thermostat, those terminals need a jumper. Some models use a small metal jumper and other models have a switch that needs to be set to "R".
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 do not solve the issue.