You have to determine if it is actually after the burner shuts off OR if it is after the forced air fan shuts off. If after circulating fan then it is the ductwork ..likely dirty filter or AC Coil causing excessive pressure differential across main plenum thereby sucking it in when fan on then it releases when fan tuns off making the banging noise. If after burner shuts off...this is a serious problem but, not expensive to fix..burner must be cleaned, inspected and combustion set up by a pro.
Please let us know the outcome as we are always interested in knowing.