Nope. Heat pumps have a COP > 1. It's quite literally a pump moving heat from a cold place to a warm place. If it takes 1 kWh to pump 3 kWh of heat from outside your house to inside (in winter), you've heated your house by 4 kWh. Note that the electric energy used to drive the pump is transformed into low grade heat, which in this case is useful.
Good point! It kinda threw me off too, since heat energy isn't usually measured in kWh. But yeah, heat is a kind of higher-entropy form of energy than electricity, so you can, in fact, turn one unit of the latter to more than one unit of the former.
The "exchange rate" depends on the temperature; the maximum ("Carnot") heat pump efficiency is T_high/(T_high - T_low), where T_high is the temperature of the room being heated and T_low is the surrounding environment the heat is being pumped from (all on the absolute scale).
When T_high = T_low, the max COP is infinity, which has the physical meaning that "You don't need to spend any energy to keep a room the same temperature as its environment; that happens automatically."
