[Danski0]

To understand the difference in a short and simplyfied way:

1. Your examples are heating up the inside air by using energy (burning fuel). Doing so will always be less than 100% efficient, some heating technologies are as little as 10-20% efficient (energy per kWh)

2. Heatpumps are instead using energy to do heat transfer. Moving heat from the outside to the inside.

The latter is way more efficient, with easily 300-400% efficiency. But obviously the colder it gets outside, the less heat is in the air to extract and the efficiency goes down.