If you have the fan selector switch on your wall thermostat set in the "On" position, instead of "Auto", then the blower will run constantly.
Check that setting first.
For heating, the fan is not supposed to be controlled by the thermostat, as long as it is operated in the "AUTO" position.
There is a combination fan/limit switch (actually a line voltage thermostat) mounted in the top left corner of your furnace.
It is most likely stuck, and probably should be replaced.
Because the limit switch (fire protection)is integral, only a qualified individual should do the work.
The replacement part, even if you get it from Lennox, must be calibrated to fit the application.
Some things can be repaired by just changing the part. This is not one of thise things.