If you go fossil fuel, you have only 40% efficiency for Fossil Fuel -> Electricity, then Electricity -> Traditional heat is only 100% efficient. So 100W of chemical energy turns into 40W of electricity, and then turns into 40W of heating.
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Today, a Heat Pump can be like 200% efficient, so you 100W of chemical energy turns into 40W of electricity, then turns into 80W of heating from the heat pump.
Alas, a Gas Furnace is like 90% efficient (10% of the heat escapes in the steam / waste products that needs to be pushed out the chimney, but everything else turns into home heating). So your 100W of chemical energy turns into 90W of heating, and you're done. And that's why our infrastructure in the USA is so much around gas heating, because its better. Especially since we are very rich in domestic natural gas production.
Yeah, we're getting to the point where Heat Pumps + Solar Electricity are coming. But... we're not there yet. On today's grid, Natural Gas heating is likely the most efficient option.
EDIT: Got my units wrong. It should be 100J of energy, not 100W of energy. Watts are power. Though in USA, we don't use Joules for energy, but instead "BTUs". Whatevs.... I think my point is still clear :-)