The very opposite is true. Gas cooking surfaces waste 75% of the heat into air.
So even with the worst furnace and the best power plant, the furnace still has similar efficiency. In the average case, furnaces are more efficient.
[1]: https://www.energy.gov/energysaver/furnaces-and-boilers [2]: https://www.sciencedirect.com/topics/engineering/natural-gas...
EDIT - Here's a video that explains it much better than I could, although it's a bit long, this YouTuber is great. [2]
[1] https://tristate.coop/advantages-heat-pumps-energy-efficienc... [2] https://www.youtube.com/watch?v=MFEHFsO-XSI
Electric heat pumps can go up to 300% efficient, and they don't care what kind of power source the grid uses.
That power plant doesn't have to use natural gas.