Yes, my oil furnace and forced air equipment shares a wall with the home theater and you can certainly hear it all running. The furnace was replaced about 2 years ago and the new high-efficiency one is perhaps even noisier than the original. Note that I used existing rooms/walls and have no soundproofing measures between the rooms yet.
As loud as the oil burner is, it pales in comparison to the whooshing air noise from the main return duct, which is in the same space as the theater and probably only 3-5 feet from the blower fan. That thing is loud. Hopefully a baffle arrangment will be able to get it under control.