Depending on where the furnace is located, it can be cheaper and have a lower carbon footprint.
In my area of the US for example, gas costs 32¢/therm, which equates to 1.1¢/kWh.
Electricity on the other hand costs 6.4¢-10.9¢/kWh (depending on time of day), and while a third of it comes from renewables, another third of it comes from coal, so it ends up being net worse for the environment than just burning the gas.