Since heat pumps are over 100% efficient it still might be (is) better to burn natural gas to produce the electricity to power heat pump than to just burn gas for heat.
They pump the heat you know. From colder outside into warmer inside. And they use (electricity that is) the fraction of heat energy that they pump in.
So 100W electric heater gives you 100W of heat inside, but 100W heat pump can bring in 300W of heat from outside. So it's 300% more efficient at heating the inside of the house.
You might want to check your numbers on that. Nothing is over 100% efficient.