^ That seems unlikely, that even if the furnace is a very old one that doesn't have its own fresh air intake, that the room won't be so sealed up with a mere door on it (if even kept closed by one) that the dryer would cause a significant vac state.
Even if it did, furnaces have a vac or pressure sensor in the exhaust (legal safety requirement AFAIK) and will shut down if not maintaining enough vac through the exhaust, but in relation to situating the appliances together, a fresh air intake for the furnace would make that irrelevant. Fresh air intake is easy to spot, either there is a 2nd pipe (or vent on one next to an outside wall), or there isn't.
However, situating appliances very close together can make them harder to service, but so would the wall so it's not an ideal situation either way.
The most likely reason there is a wall is that a furnace is considered ugly and not needing frequent access like a washer/dryer so the wall just hides it.