Heater won't shut off.

So a few weeks back I had turned on our electric furnace for the first time this year by using the thermostat. And when it first started it up it was making a pretty loud rattling/shaking sound. So I went and turned it off by using a the double on/off switch located on the outside of the furnace. I flipped it on and off a couple of times and then the noise went away.

The problem now is that the furnace won't turn off from the thermostat. I have tried setting it to the off position and also turning the temperature setting to a lower degree and it still won't shut the furnace off. I don't think the thermostat is bad as I can hear the distinct "click" of it as I turn it to the off setting and then back to the heat setting. The only way to turn the furnace on or off now is by flipping the switch outside of it.

Do I need to somehow sync up the furnace back to the thermostat somehow? Did I somehow disable the thermostat by turning off the furnace with it's off switch?