[maxerickson]

Modern gas furnaces can achieve over 90% fuel efficiency.

So for resistive heating (where electric tops out at 100%), it's likely that a home furnace is converting more of the fuel into heat in the home than the combination of the power plant and electric heater.

An easy gut check for this is how much cheaper natural gas is to heat with than resistive electric. As a sibling comment says, a heat pump really improves the numbers for electric.