Turning electricity into heat isn't all the work you can get out of the energy. Heat pumps get even more, by using the energy to move heat from one place to another (e.g from ambient outside air to the volume to be heated), and the heat from this process also heats the volume.
If the air outside my house is warmer than the air inside my house, I'll just open the windows. Generally when one needs a heater it is because the system surrounding the house is colder, sometimes much colder, than the house itself.
Cold makes it harder on the heat pump, but not impossible. Heat pumps use a compressor (just like AC unit). If the pump can create a mass of gas colder than the outside air, then that mass will be warmed by the outside air (no matter what the absolute temps are).
In the limit of course (too cold outside), a heat pump is just as efficient as using the electricity for heat directly.
