Two Hands,
The Furnace does NOT have a filter. I have installed behind the cold air return grill a washable filter. Bought one at one of the home building centers... and cut it down so it would fit snuggly behind the grill.
To make it clear, this does not actually clean all the air going into the furnace... because in my BigHorn.. the area behind the cold air return... it is open to the kitchen base cabinets... it also pulls air in from the basement area.
I feel the air will be pulled through the grill mostly... the path of least resistance... so I hope it will help keep the fan blades cleaner than with out the filter in place.