You need to use your meter to check for continuity.
Use a resistance range so that when the two leads are together as a closed circuit you get full scal reading.
When the thermostat is off you should get an open circuit or no reading at all.
When the thermostat closes(Clicks on) you should get the full scale reading.
Try this right at the back of the thermostat first,I think you can even do it from the front depending on your thermostat?
If it reads correctly there then try it where the thermostat connects to the furnace
and you can tell if the wire is good too.
Whether you have a Digital or Analog meter the method is the same.
If your meter has a buzzer function for continuity that may be even easier to try.
Hope this made sense?