My brother is an HVAC mechanic and a new HE furnace will cost between $4000-$10,000 depending on the modifications that are required to transition from the old to the new. It also depends on the quality of the furnace that you purchase.
I had my furnace replaced a couple of years ago and a lot of sheet metal work was required. My old furnace was 30 years old. Since my brother did it for me I only had to pay the wholesale cost of the equipment/materials, I selected a mid level quality unit. It still cost $2800, a turkey dinner and a case of beer. It took approx. 7 hours to install plus some prep work the day before. So I would say that if you can get it done for $4000 you're doing really well.