Check the furnace's dampers, specifically the ash pit damper normally located at the base of the furnace and the smoke pipe dampers on the length of its stovepipe. In any case, the dampers appear as small, vent-like doors on the furnace. One at a time, open each damper. Listen for the effect of closing each damper and note the noise difference when various combinations of dampers are open and closed. Experiment with a combination of open and closed dampers until you've reduced or eliminated the knocking.
Install a non-pleated filter to dampen furnace knocking noises. For a furnace that blows air upward, such as a basement furnace, remove the blower door located on the unit's bottom; unscrew it with a screwdriver. See built-in braces sized to hold an air duct filter; place an appropriately sized filter in the duct, so it rests in the braces. For a furnace that blows air downward, the blower compartment is located near the top of the unit.
Consider hiring an air duct cleaning service. Visit the Better Business Bureau's list of accredited air duct cleaning services online (see Resources). Professional duct cleaners remove dirt, grime and debris that may be responsible clogging the ductwork's fan or impending air flow, both of which produce knocking noises and other sounds.