Is it safe to use the thermostat off on when you don't want heat?

I have a Goodman furnace and White Rodgers thermostat with heat/off/cool settings. Supposedly when lowered to a certain temp. the heat blowing/cycling is supposed to stop, but no matter what temp. it just keeps going on and off. It does not stop operating below room temp. Is it dangerous to just turn the thermostat off when I don't want heat?