When you changed the batteries you probably had to remove the front section from the wall plate. The front section has all of the switching electronics that close or open connections between the incoming wires. With the front section removed all connections should be open and the furnace should shut down. It may take a few min for the furnace to shut down when the front section is pulled. If it shuts down with the front removed but not when the front is in place, the problem is with the thermostat.
When you put the front section back on there are a number of pins that get inserted into specific sockets on the wall plate. If pins are misaligned or bent operation will not be correct.
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