No, you can get much worse as well when considering heating in general. Heating efficiency is a measure of useful heat, so while of course energy is conserved

No, you can get much worse as well when considering heating in general. Heating efficiency is a measure of useful heat, so while of course energy is conserved in the universe, it is not 100% efficiency as measured, where we consider the consumed energy versus the successful heating of the home. Heat lost to the outside is inefficient. With natural gas heating, efficiency used to be around 50% as the exhaust gases were quite hot. They just had passive chimney flues driven by natural convection. Improvements to recover more of that heat brought efficiency up to 80% and now approaching 95% in the most modern configurations that I've read about. They now require mechanical ventilation to remove the exhaust and also have condensate drains because the heat exchangers cool the gases so much. Of course, something like a traditional wood fireplace is much worse than even those old gas furnaces, with a vast amount of energy going out the chimney.