Short bursts can be normal
Air can feel cool at the beginning or end of a heating cycle while the blower starts or finishes moving air. Persistent cool air during a call for heat is different.
Check thermostat and filter
Verify heat mode and fan settings, and inspect an accessible filter. A fan set to run continuously can circulate room-temperature air between heating cycles.
Persistent cold air needs diagnosis
If the burners or heat source are not operating correctly, or the system stops and restarts abnormally, professional furnace service is appropriate.
Safety note: If you smell gas, see smoke or fire, suspect carbon monoxide, or believe there is an immediate safety danger, leave the area as appropriate and contact the relevant emergency or utility service. Do not treat an active safety emergency as a routine HVAC appointment.