I just replaced the thermostats in my house and noticed the downstairs one had a cold draft coming through the hole in the drywall where the wires were run. My previous house had the exact same problem and that cold draft will cause the thermostat to cycle the furnace more often. I sealed it up with some expanding foam and it does seem like my furnace is cycling less often now. These thermostats were all installed on internal walls, so Iin theory there should be no drafts, but we all know the quality of "pro" work these days. Something to keep an eye on.