Which way does air flow into a furnace?
The filter sits between the air return duct and the heat chamber, BEFORE the cool air enters the furnace.

The air flow arrow almost certainly will point at the furnace, not away from it.

If the filter sat after the furnace, there would be potential hazards associated with it, like possibility of fire (hot air hitting a cardboard frame) and release of nasty substances due to overheating.