An expensive high efficiency gas furnace might be 95% efficient (most normal furnaces are in the 80's)
1000 x 0.95 = 950 BTU/cuft
A high efficiency natural gas power plant is 60% efficient and a modern high efficiency low temp heat pump can have a COP up to around 2.7 at 17F
1000 x 0.6 x 2.7 = 1620 BTU/cuft
A 40% power pant is still more efficient than a 95% furnace with a 2.7 COP heat pump.
There is obviously more to this, there are some grid losses to account for but has to be compared to piping losses, there is also cost factors and also how much renewable is mixed into your grid supply, but generally once that heat pump is above around 2.5 COP it starts to make sense, this is a no brainer in milder climates which is why I have a heat pump and no gas furnace here in FL even though I have gas to the house for other uses.