They literally are more efficient than burning gas, a good heat pump can do over 300% efficiency (KWs of heat in your house vs KWs of electricity used) while a furnace can only hope to get 100%. Even if the heat pump is fed from gas power plants (which burn gas with about 50-60% efficiency, more if the waste heat is reused), they are still using less gas for the same amount of heat than directly burning it.