Furfural has a high solvent power for those components of petroleum which are relatively unstable to oxygen-as well as other undesirable materials including color bodies, resins, carbon-forming bodies, etc.-and yet, at the working temperatures, has a low solvent power for the desirable components. The application of furfural as a selective solvent in this respect is carried out by the furfural refining process.

http://pubs.acs.org/doi/abs/10.1021/ie50458a009

In this other reference, you might get some additional information: 

Extraction of furfural from aqueous solutions using alcohols

Jose L. Cabezas, Lucas A. Barcena, Jose Coca, Michael Cockrem

J. Chem. Eng. Data, 1988, 33 (4), pp 435–437

DOI: 10.1021/je00054a014

Publication Date: October 1988