Why does a furnace need a fuse?
You have an electrical connection to the Furnace - even if it is gas. Blower motors and control circuits require electricity; should you have a short - you will need the overload protection to prevent a fire that only a pyromaniac could enjoy.

The fuse is most likely of a lower amperage than your Circuit Breaker - it guarantees the safety of the furnace - regardless of your Circuit Breaker.

Think on this Why do Microwave Ovens have Fuses in them or other appliances such as TV's have fuses in them when we have these wonderful circuit breakers installed? 

In Summary: The consuming unit may not trip the breaker, and if not a fire could easily erupt first before that breaker ever went into overload.