This is a bad HVAC design problem festering in most new construction. They install one cold air return per floor. They are noisy, and if you close a bedroom door, you greatly decrease heating or cooling to that room.
Every room should have a cold air return. Even my bathrooms have their own cold air returns!
As far as what you can do. Nothing, unless you choose to rip out all the drywall and redo the HVAC from scratch. If you have a ranch, it makes redoing much easier than with a 2 story.
You could find a quieter furnace to install. Research which one is the quietest. They probably gave you something like Janitrol. However, moving air makes noise and less noise may mean not moving enough air.