Why cant you find your filter on your gas furnace?

Usually the filter is right on the inside of where the return air duct meets with the furnace. You usually have to take off the side or front panels of the furnace to gain access to where the filter is. Usually these involve sliding them up and out but it can vary. Check an online owners manual for the make and model of your furnace. Usually there will be a plate of information somewhere on the casing of the furnace with this information.