If $\text{GL}_m(F)$ is finitely generated, then $F^*$ is finitely generated (take determinants of a finite set of generators). Note that any subgroup of a finitely generated Abelian group is finitely generated. If $F$ has characteristic zero, $F^*$ contains a copy of $\Bbb Q^*$ which is not finitely generated.
If $F$ has characteristic $p$, and infinite, then either it is (i) algebraic over $\Bbb F_p$ or (ii) transcendental. In (i) the group $F^*$ is torsion, so cannot be finitely generated (lest it be finite). In (ii) $F^*$ contains a copy of the $\Bbb F_p(X)^*$ which is not finitely generated.