This is probably a matter of not knowing where your service panels are. Plural!
Find the meter and follow
You need to "follow it from the meter" as it were. Find the meter; easy. Then you'll have one of three things:
- Additional compartments in the meter cabinet that open up (do not break any seals).
- Very obvious conduit to another equipment box nearby
- Invisibly, conduit going straight back through the wall behind the meter. On the other side of that wall must be a service panel, possibly up or down a floor.
The cable between meter and main breaker must be very short; so it can't be more than 6' away or so. Wherever you find your main breaker, you might also find some additional breakers. Typically one of those feeds a sub-panel; I'm guessing you initially found the subpanel and are unaware of this panel.
Beware the "Rule of Six" panel aka Split-Bus panel.
There is a type of service panel out there that has no main breaker. Instead, it has 8-12 breaker spaces in a special section called "Main Breakers" -- and a bunch of other breakers. All the breakers in the "Main Breakers" section are your main breakers. The idea was to save money by not having a 100A+ master main breaker (back when those cost hundreds of dollars), and instead just have up to six breakers that feed large appliances and subpanels.
Typically, these panels have one - e.g. upper left - marked "Main Lighting". This is the breaker that feeds the *other section of the panel", called the "lighting section" but intended for normal branch circuit loads. So if you searched a Rule of Six panel for "the one main breaker", you probably shut off this breaker (but left the other "5" on).
Rule of Six panels tend to get screwed up over the years. The 12 spaces are supposed to be no more than six 2-pole breakers. But Rule of Six panels generally have few spaces by modern standards, and so people run out of space in the lighting section. Then, they start replacing the Main section breakers with single-poles or double-stuff breakers, and you can find yourself with 10 or 15 "main breakers".
Generally, Rule of Six panels should be deprecated - but that's not as scary as it sounds. You simply install a subpanel right next to it. 100/125/150A breakers are now cheap, so get the one that matches your service, and have it feed the subpanel. Then move each of the circuits in the "main breaker" area to the subpanel. Now there is only 1 main breaker. That was easy! (Make the subpanel huge, so no one ever has a need to stick breakers in the "main breaker" section).
If nothing turns it off
It is absolutely possible to "hot-wire" a circuit directly off the main lugs so it is unprotected by a breaker. No electrician would do this; no, this incompetence is done by somebody who doesn't do electrical - like a furnace guy. If that's the case, that needs to be fixed post-haste.
Why would this happen? Well, you have 2 furnaces, right? I bet one was added later. Furnaces require dedicated circuits. The furnace guy was probably bright enough to know that, and normally just adds another breaker. But the panel was totally full, and furnace guy had to finish the job to get paid and not get fired.