It’s the most energy efficient because you’re not using the power to produce heat; You’re just moving heat from A to B. Imagine a heating coil that is 100% efficient. For every watt of power you put in, you get one watt of heat. Now imagine being able to move heat from outside instead. For every one watt you put into the system, you can move two watts of heat into the room. It’s not using the energy to create heat, so it can actually be more efficient than something that is made to produce heat.
The issue with heat pumps is that they need latent heat to actually be able to pump heat around. As temperatures get lower and lower outside, they become less efficient at heating your house because there is less heat outside to pump into your house. At a certain point, it becomes more efficient to just use the power to directly produce heat, instead of trying to pump it around.
Most of the world doesn’t ever need to worry about that, but it can be a consideration in particularly cold areas. The tipping point for efficiency is usually around 0-10°F, so it’s not something that equatorial areas need to worry about. But up north, it becomes more and more of a consideration.