I have a gas ceiling mounted furnace for my garage.
I want to set my garage at 35-40° F (1-4° C).
Is there a special thermostat to control furnace at that low temp? (I've seen one works as low as 50° F (10° C), but not as low as 35-40° F)
Yes. One example is the Honeywell CT50K1028/E which is your basic low voltage thermostat it goes down to 35 F. I'm pretty sure it will work for your application. No hacking or electronics work reqired. There are others. Do a search for " Garage thermostat"
My Honeywell RTH7500D can go down to 4.5° C, if that is close enough for you.
You may be able to hack something together with a refrigerator thermostat. You'd have to do a little tinkering though, since it would do the opposite of what you want to do. When the temperature rises above a certain point, the fridge thermostat will cue the appliance/heater to turn on. If you can figure out how to reverse the process, this could be a possible solution.
If you don't want to pay $50 for a thermostat that you may or may not be able to make work for your solution, Hack A Day featured how to build one a few years ago. It may also be easier just to edit the code to make the thermostat turn on the heater when the temperature drops below a threshold rather than above it. (That is, if you're familiar with that sort of thing.)