I can think to not do what your doing would be if the furnace is being starved on the cold air return side. As long as the blower isn't being restricted for air on the cold (or hot for that matter) You should be fine. Your furnace may cycle more, but you have a two stage anyway, so you are better suited for less square footage anyway.
I personally have a 2 month old Lennox G26 series single stage, and my "friend of Dave's" has no problem with me closing off several rooms in the winter. (we are also empty nesters)
In my opinion, you should be fine. Just make sure the air returns aren't shut off.