Because if you have a natural gas flame in air (lets say 2000C, my previous number was wrong as someone pointed out), then you can do useful work with it.

A carnot heat engine with a hot side of 2000C(Th=2273K) and a cold side of 200C(Tc=473K), has an efficiency of 1-Tc/Th or 79%.

So you can do useful work (hopefully inside the house, where it too will eventually end up as waste heat) AND recover energy from the exhaust gas of the carnot engine--which is 200C!

Imagine burning natural gas in your furnace, vs using your natural gas to run a electricity generator and mining bitcoin with it inside your bedroom. A Bitcoin rig makes a great space heater.