Why?
Electric heat is 100% efficient at turning electricity into heat, but that is only part of the equation, you have to look at the whole picture from end to end and consider where the electricity comes from.
So let's say for simplicity that we are going to generate electricity by burning natural gas, a common method is to use a gas turbine engine which IIRC can be around 40% efficient typically at turning the heat from burning natural gas into mechanical energy, then that will be turning a generator which might be something like 90% efficient at turning mechanical energy into electricity. Then you have to send the electricity from the plant to your home, seems like I read somewhere that the grid is about 80% efficient.
Even if you completely ignore everything beyond the gas turbine it's still quite obvious that burning the gas in your home where you need the heat even in an old 80% efficient furnace or boiler is going to be more efficient than burning the gas at the power plant in a 40% efficient turbine to get electricity, even if you can later turn that electricity back into heat with a 100% efficiency.
Now if your electricity comes from other sources then the picture changes, but a very large percentage of the electricity generated around the world comes from burning fossil fuels.