Answer by
LeheckaG (1826)
TURN THE FURNACE OFF
(electric-shut-off, gas-supply, ...)
Remove the the damaged-filter-remains;
Check for & repair any other damage to your furnace
(fan-blades, motor, heating-elements, ...)
Obtain & install a new-air-filter of the appropriate-dimensions
(Why was the old-air-filter sucked into the furnace? too-small, more-support required, retention-clips, ... ?)
Turn your furnace back on
(electricity, gas-supply, ...)