Is furnance filter different than filter at air return panel in ceiling?

Someone from the gas company checked all the gas outlets in my home after turning on the gas. He went up into the attic to check the furnace and noted the furnace filter is dirty and should be replaced. (He wrote "FAF filter dirty" on the report he gave me). There is a large panel in the ceiling near the furnace that contains a filter for the air return. Is this the filter to which he referred or do furnaces usually have their own separate filters as well? (There are not other other air returns in the house, just this one).