Classic market failure: operational costs don't factor into home buying decisions prominently, so whatever small added construction cost is borne by the homebuilders (the cost of added insulation doesn't quite result in an equal increase of selling price).
Short of instituting a carbon tax that would make operational costs of heating suddenly more prominent and priced accordingly, this is a great case for efficiency standards in homebuilding. Suppose your home came with an "energy star" HVAC rating...