The electrical utility program they’re talking about doesn’t control your thermostat, it’s a line-voltage device that is wired in-line with your air conditioning compressor. It has a relay that enables and disables the compressor circuit. The enable/disable signal comes from the utility. The furnace fan will still run.
Xcel Energy calls their program “Saver’s Switch” if you want to read more about it
Xcel Energy calls their program “Saver’s Switch” if you want to read more about it