I was wondering a few times about such installation myself. What a waste of moist air from an exhaust fan, at least during the cold season, this could almost work like a humidifier... and somebody did it.
Unfortunately it doesn’t work; it could if you’d be able to synchronize the furnace with the bathroom’s exhaust fan operation (both working at the same time). Even if you could, the fan exhaust pipes connection would need to be moved close to the heat exchanger, humidistat controller would be needed as well.
The best practice and the requirement is to have bathroom exhaust fans discharging to exterior. Although the bathroom exhaust fan discharge through the soffit is for some reason permitted in various jurisdictions I wouldn’t recommend it at all (never in a climate with temperatures occasionally dropping below freezing) because it usually results in condensation and mold in an area directly above the termination point.
I would disconnect both bathroom fan exhaust pipes from the cold air return ASAP and provide discharge through the roof.
I would also check the interior of the air return for any signs of mold, if there isn’t much room to look inside, slide a digital camera into the openings (after removing ventilation ducts) and snap a few pictures pointing in various directions.
If you have condensation in your attic there might be mold growing as well - check this link: Why is mold growing in my attic?