Not if they're electric!
True, I just haven't seen that combo in my personal life, how common is that in a single room?
Why would you have an electric furnace? Wall or floorboard heating would be much more efficient in that case.
In any case, an electric furnace produces ozone. And to top it off utility rooms have no windows, making it impossible to rescue the baby if a fire is near the utility room.
I have been involved in Fire Prevention and Fire Safety Education for 23 years. Any parent pursuing this idea is endangering the life of their child. Period.