It's not just the efficiency of the heat pump that is at issue, it's the insulation of the house. As the outside temperature plunges, the house begins cooling off much more rapidly. This means the reduced efficiency of the heat pump (operating in cold outdoor temperatures) needs to produce more heating than it would at higher temperatures, and it's just not capable of that. My house was built in the 1980s and its insulation has always been more than adequate for the original natural gas furnace to be able to heat.

The heat pump I have is only a few years old and cost $12,000 installed (before tax credits). To be able to rapidly heat the house when it's -40 outside would require a system costing several times that! Much cheaper just to use a furnace for those few days per year.