A heat pump doesn’t generate heat. It relies on the outdoor heat to warm the house. During winter, outdoor temperatures may drop below freezing point. That makes the heat pump work extra hard to warm the house. Hence, it may consume more electrical power.
On the other hand, furnaces generate their own heat. Even though they use more energy, they provide more heat than heat pumps. That’s why heat pumps are not suitable for climates with extremely harsh winters.