Is it registering the presence of natural gas or carbon monoxide? If you don't know, buy a CO only detector and use it ASAP so you know exactly what you're looking for? Is this a draft induced or gravity supplied combustion air?
If there has been no work done on the gas piping, I would doubt that's the cause. Also you can smell it. But you can use very soapy water on each connection point of the gas piping (couplings, unions... all joints) to check for a gas leak. If it's a CO problem and a gravity combustion air flow, I would check the entire exhaust flue for blockage. It is possible, until the flue heats up and the draft establishes itself (gravity system), you may have a little CO spilling into the furnace room. You will want to check the flame to be sure it's blue... not orange. Complete combustion is the best way to avoid CO issues.
Finally, it could be the heat exchanger but rule out everything else first. You may need a pro with the equipment to look at your heat exchanger. Be sure to have him show you any crack, if he finds one.