If you want to get rid of the chimney, which a lot of people do, then you need to get rid of the reason for having it. I am not a furnace guy, but I really don't think there is an inexpensive way to vent an older furnace out thru a sidewall. Chimneys give you a "draft" as the warm air rises up thru it and it takes the burned gases outside above the roof line. If you vent the furnace out of a sidewall you won't get the proper "draft" and the furnace will probably not work very well. There would also be a danger of getting burned gases in the house which would not be good at all. There may be a way to vent it out of a sidewall, but I seriously doubt it would be cheap.
You are sort of in a bad way here, basically you want to get rid of the chimney. But you can't really get rid of the chimney until you get a different venting system for the old furnace, or unless you get a new furnace that vents out of a sidewall. To make matters worse, you need a new roof more than you need a new furnace.
I hate to say this, but it may be time to talk with your friendly banker and get a loan for a new furnace. I suspect the cost for the interest on the loan would be less money than the cost of trying to vent the old furnace out thru a sidewall. Keep something else in mind here, a new furnace will no doubt be more efficient than the old one so an added plus for the new furnace is that you will save money on your heating bills.