This is not true since the vast majority of electric whole home heating units sold today are heat pumps, which are up to 300% efficient [1]. If the power generation and distribution is 33% or higher efficiency, then a heat pump will outperform a natural gas furnace operating at 100% efficiency.
EDIT - Here's a video that explains it much better than I could, although it's a bit long, this YouTuber is great. [2]