What's the difference between Natural Gas Furnace and Propane Furnace?? I've just installed a furnace in an apartment which uses natural gas and when I was connecting the gas line I noticed a tag attached to the gas valve that said use with Propane gas, I bought this furnace at Home Depot but nobody told me there was a difference or that they had two different types of heaters, the problem is that the pilot is lit but as soon as try to turn on the thermostat it goes off.