Variations on the theme exist, but thermocouples come in grounded or ungrounded, and shielded or exposed junction types. On this one the junction is exposed, and equipped with a grounding wire.
If it were a shielded type (rather than being contained within a thermowell like the one
@dlgoff described) it would typically be contained within a closed stainless steel or Inconel tube packed with magnesium oxide (to insulate the connection wires), and the junction would either be welded to the tip (grounded type), or offset back a bit to allow headspace for MgO insulation (ungrounded). In a shielded thermocouple, the grounded type has slightly faster response due to the direct connection between junction and sheath. An exposed junction TC has even faster response.
When used in the furnace, did it measure and control the temperature of the air within, or was it positioned directly in the flame as part of a proven ignition safety circuit? An ungrounded thermocouple can't form ground loops, and is generally preferred from a measurement perspective. I've never seen this sort of TC either, and unless it is part of a gas burner safety circuit the reason behind the intentional grounding wire is throwing me.