DIAGNOSIS: The thermostat is sending the 'W' signal for heat, but your furnace isn't responding. The problem is 99% at the furnace—a failed igniter, flame sensor, or gas valve.
FIX: Check the furnace directly. Look for a blinking LED light on the control board inside the furnace door. Count the blinks and consult the error code chart on the furnace door panel. This will tell you the exact fault (e.g., 3 flashes for pressure switch, 4 for igniter failure).
IF THAT DIDN'T WORK: If the furnace shows no error code, the issue might be the thermostat's configuration. Verify in Settings > Installation Settings > Equipment that your furnace type (Gas, Oil, Electric) is correctly selected.
HEADS UP: A very common and simple fix is cleaning the flame sensor—a thin metal rod in front of the burner flames. Turn off power, remove it, lightly sand it with fine grit sandpaper, wipe, and reinstall. This resolves many 'no ignition' issues.