Perry,
I meant all noise from outside the room, not just outside the house. Think of occupants, appliances, A/V equipment, wind, rain, etc.
Check building codes for furnace installations. As most listening rooms are sealed to keep noise out, there probably wouldn't be sufficient venting to allow the furnace to work. And if it did work there could be dangerous build up of carbon monoxide. Besides, furnace burners/fans make noise, so it'd be best (acoustically) for it to be outside the room anyway.