Your thermostat should give you a warning when the batteries are low and make sure you replace them.
A friend of ours went on vacation and when we went to check on their home a few days later it felt like an oven. It was 120 degrees inside. It turns out that with some furnaces if they are running when the batteries die then the furnace just keeps running as it does not know to turn off.
If this happened to your house it can cause all kinds of problems. The toilet is likely to leak as the wax rings that provide the seals will melt. There can be other issues and even the possibility of an explosion so make sure you change your batteries