DIAGNOSIS This usually means the thermostat is calling for heat non-stop. The most likely wiring mistake is mixing up the 'W' (heat) and 'Rh' (power) wires, so the heat circuit is always live.
FIX Turn off the power to your furnace at the breaker. Carefully pull the thermostat off its wall plate. Look at the wires. The red wire should be in 'Rc' or 'Rh'. The white wire should be in 'W'. If you have both a red and a white-red wire, the second one might go in 'C'. The key is that ONLY the white wire goes to 'W'. If you have two white wires or a white wire in the wrong spot, that's the problem. Re-seat them correctly the labels, snap the thermostat back on, and restore power.
IF THAT DIDN'T WORK If the wiring is correct, the thermostat itself might be stuck. With the furnace power OFF, disconnect just the white 'W' wire from the wall plate. Turn the power back on. If the furnace stops, the thermostat's internal relay is faulty and you need to contact Wyze support for a replacement.
HEADS UP If the furnace keeps running even with the 'W' wire disconnected (and power back on), you have a stuck relay on your furnace's control board or a short in the wiring between the furnace and thermostat. That's an HVAC technician fix.