It's all relative, humidity that is. Heating season is always dry, dry, and dryer indoors. The dryness causes all those winter colds and sniffles, does evil things to wood in the house, and creates all that static electricity. It gets so bad that merely stroking the cat gives you, and it, a 20KV jolt, most upsetting to cats.
The house gets dry, 'cause humidity is relative. Air feels moist when it is carrying all the moisture it can hold, and feels dry when the air is short on moisture and is sucking moist out of everything in the room. Magic science fact: Warm air can hold more moisture than cold air. The house is dry 'cause cold outside air was warmed by $3 a gallon furnace oil. As the air warms, it can hold more moisture, so it starts sucking moist from everything in the house. Eventually the warm air picks up enough moisture from people, showers, sinks soaking the dirty dishes, evaporation from toilets, humidifiers, and ceases to feel to damnable dry.
About this time, the furnace lights off. The burner takes air (a lot of expensively heated air) from inside the house, and sends it up the stack. Zip. Nature abhors a vacuum (Magic science fact #2) and so cold outside air slips into the house thru cracks around the doors and windows, leaks in the walls, somewhere. The new air is cold, and as it warms up it does the moisture sucking thing and the house gets drier.
Why not make furnaces with an combustion air inlet? You run a air duct to the outdoors and then the furnace sucks its combustion air from the cold outdoors rather than the expensively heated indoors. The indoor air stays moister, which is nicer. The cat approves.
The wood stove people understand this already. Good woodstoves are sealed and have a single air inlet which gets ducted to the outside. What is holding the furnace people back?