The temperature of your home doesn’t mean anything in regards to comfort if your indoor air quality is compromised. Part of the job of your furnace filter is to improve your indoor air quality, so change it if it’s over a few months old. If you have many pets or have occupants with allergies, you can change the filter monthly for a better result.
Pro Tip: Filters with higher MERV ratings will catch smaller particles. A rating of 16 is as high as a filter will go for residential use.