Why does my central heating unit continue to run after reaching its set temperature?
If this is a forced air system, the blower will continue to run for a specific amount of time after the unit stops producing heat. The unit will no longer be producing heat, but the blower will continue to run to spread the heat that was produced when the unit was full on.  If it didn't, a lot of the heat produced would be wasted.

Some units use a heat detection circuit to determine when the blower should turn off. Most however, simply keep the blower on for a predetermined amount of time.