I often have issues with this because I have a big, old house that is expensive to heat. It's not just the costs though. From an environmental perspective, I don't want to waste copious amounts of energy. To me, it is normal to wear warm clothing/extra layers in the Winter rather than to keep pumping up the thermosat and it's not normal to have the heating on all night unless it's super cold. I agree with @Jeanne224, it is not healthy. Medical reports show that in the long-term it can cause respitory and heart problems.
You can provide extra blankets etc, but some guests will not be happy unless the heating is on 24/7. Sometimes you have to put your foot down, but be prepared to have put out guests who leave less than glowing reviews. Even though I specifically changed the timer so the heating was on before he got up in the morning and again before he got home in the evening, one guest claimed that I made him ill (he got a cold AFTER returning home) because the heating was not on overnight.
The most unreasonable guest I had in this regard was staying in June. So, it wasn't cold but this guest decided to go for a run in the pouring rain. When he got back, rather than take a hot shower and put on dry clothes, he immediately asked me to turn on the heating. I explained that we don't normally have the heating on in the middle of Summer (most people have their windows open) and that it wasn't cold. He barked back at me while stomping up the stairs, "Well, this is NOT warm where I come from," (he was from Miami) and, "If I was you, I would put the heating on," in a rather threatening tone.
Well, what to do? I gave him an electric space heater. It's not ideal as they chow so much electricity, but at least it was better than heating my four storey house and causing discomfort to my other guests. He seemed happy with that, but spent the rest of his stay walking around in shorts and a vest top. Some people are just unreasonable.