When our home was built several years ago the natural gas forced air furnace (downflow) was installed into a closet in the attached garage. Our bedroom is just a few feet down the hall from the entry to the garage and is the location of one of 3 return air vents.

Am I wrong in thinking each time we start our cars or my husband smokes a cigar in the garage, the air from there is being pulled through the furnace and into our home?

You should have some worry about this, but not a lot. The furnace should be located in a sealed closet within the garage. Fresh air for combustion for this equipment should be from an outside source or from the interior of the home.
If you smell the cigar in the home while your husband is out there smoking, you should have the system looked at. The return ducts should be sealed to prevent any air from being pulled from the garage. If this is indeed the case, you need to have the ducts sealed to prevent this. In addition the furnace should be raised off the floor of the garage and behind closed sealed doors as well. This helps prevent any gas fumes that may occure within the garage from being pulled into the combustion area and cause a fire. Be sure for safety to keep all gas cans and lawn mowers outside in a garden shed and not in the garage. Many house fires are caused by lawnmowers each year.