In many cases you should take some care to seal up the slot where your furnace filter slides into. Sometimes there will be a cover that screws on or clips on, and sometimes there will be some other type of cover, and other times you’ll need to get creative to seal it up. And here’s why you should seal it up.
Here’s a pretty standard furnace setup, with supply and return ductwork. And here’s the filter, so that’s the filter slot that you want to seal. This is one of the wide filters, but it’s the same thing with a standard one inch filter.

And here’s the system’s blower fan. This is what blows the air through the ducts and into the rooms. Air is blowing upwards from the fan, and that creates higher air pressures in this part of the duct. So if there are any holes or leaks in the ducts then air is going to leak out.

Air is being pulled into the fan from the right side, so this part of the ductwork is under negative air pressure.

So if there are any holes or gaps in the ductwork here then air from the room will be drawn into the ducts since they’re at lower pressure. And one of the most common holes in the ductwork is the filter slot itself, and sometimes the gap at this slot is quite big. So if this slot isn’t sealed well then air from the room gets sucked into the HVAC system.

Sometimes this is of little consequence, but many times you definitely don’t want to pull air from the furnace room into the HVAC system ducts. If the furnace is in an attic (which presents other problems) then you don’t want to pull that unconditioned attic air through the system. If the furnace is in a small closet (which again might present other problems) then this can create pressure problems that can lead to back drafting of the flue gases. And if the furnace is just in a stinky mechanical room then you don’t want to pull in that stink and send it throughout the house. The International Residential Code section 1602.2 says that you shouldn’t pull return air from a mechanical room, closet, or garage among other places.
The way to prevent this is to seal up the filter slot each time you replace the filter. If there’s not a ready-made way to do this then you have several options. You can buy flexible magnetic sheets that can be peeled off to get to the filter and then easily replaced. Or you can simply use tape. Use the cheap gray type of utility tape, and just leave the roll at the furnace so it’s always there when you replace the filter.
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