I have to agree with TheMG on this. Todays furnaces use PVC piping for the combustion air exhaust and intake. You can run the pipes through the roof or exterior side wall. Most (if not all) offer a Concentric Vent kit that pipes both combustion air and exhaust in to one pipe so there is only one penetration through the wall or roof. You can even paint out the pipe to hide it.
Edit In addition, because the combustion air is piped it, you don't have to worry about combustion air louvers or the furnace using warm room air for combustion air.