What the other guy said. It's down to the fact that you aren't actually heating/cooling down a room, you're just moving the heat already there around. E.g. in winter, instead of producing your own heat with electricity, which is 100% efficient, you take heat from the outside and put it inside, using a lot less energy in the process than if you were to create the heat inside of your home.

Though I'm not sure if it's that efficient, I think I heard it's more around the 150-200% mark, but I'm not sure.