Replacing your furnace's filter is one of the best and easiest things you can do to save money and keep your indoor air clean. Furnace filters are your home's first line of defense against allergens, dust, and other airborne particles. They also protect your furnace's fans and heating coil from potential damage caused by these particles. So let's take a closer look at the benefits of regularly checking and replacing your furnace's filters. Protection from Airborne Particles.