Do cold air return vents also supply combustion air?
Depending on the age and type of your furnace, it either draws air from a dedicated intake duct running alongside the exhaust pipe (in the case of modern, direct-vent high-efficiency models) or from the room in which it's installed. 

In the latter case, there's sometimes a "makeup air" duct leading into the utility room from outside. It's often simply a length of insulated flexible duct with an unterminated (open) end near the furnace.