It is a good question.

Where I live, electricity costs around $0.28/kWh, but generation is typically >85% renewable (predominantly hydroelectric).

My heat pump (4.7 COP when heating) would cost $0.06 to run for every 1kWh of heat it produces, with only 0.03kWh of that electricity coming from fossil fuel sources.

Gas - which I don’t have at my house - would have pricing in the neighbourhood of $0.15/kWh. Even at 95% efficiency getting 1kWh of heat from gas would cost $0.16, using 1.05kWh of gas.

35x the fossil fuel usage and 2.5x the price, for the same quantity of heat. Some luck of living in a moderate climate where an air-source heat pump almost never loses efficiency, to be fair.