That may be true for stoves where heat goes into the air but it’s not true for other appliances. Most modern gas furnaces have an efficiency of about 80%, meaning 20% of energy is lost as exhaust. Some newer systems have efficiencies as high as 98.5%, and older systems might go as low as 56% [1] Natural gas combined cycle plants (they have have multiple turbines for increased efficiency) around 50% efficiency (efficiency is limited by the thermodynamics of converting heat to electricity) [2]
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...