furnace creating a ground?
Is the feed cable a metal-sheathed (aka BX) cable? If so, the metal sheathing is likely providing a ground even if there are only two wires (hot and neutral) inside the cable.

It's also possible that the metal ductwork attached to your furnace is grounded at some point. This might be done in a reliable, intentional way, or it may just be that it comes into contact with some metal pipes somewhere.

I think it's unlikely that the concrete floor is providing such a reliable ground, and it's definitely not the way you want to do it -- the whole point of having a ground conductor is to provide a lower-resistance path to ground than the one that goes through your fingers to the floor you're standing on.

In any case, there ought to be a ground conductor to the metal housing of your furnace. The best way to achieve this would be through any cables feeding electricity to your furnace, but you may also be able to add a dedicated ground wire. I'd recommend checking your local building code to ensure any change you make is compliant -- things get complicated when you're dealing with HVAC and basements. Good luck!