Ethernet cable instead of Thermostat wire?
I wouldn't do it. The next poor sod (who may be you) trying to fix something (or perhaps changing the system!) is expecting to find properly colored #18 AWG wire.

Instead they'll find #24 wire in all these weird (to them) colors. You're saving yourself some money now, and making someone else's life difficult down the line.

And of course, if you or someone else later change to a system that requires the #18 wire, then it's got to be ripped out and re-run, which is another pain in the neck for someone.

I advise against doing non-standard things that are going to cause someone extra work in the future!