Inherently more expensive to install due to greater size and complexity.
Gas/oil furnace can be powered by a small generator, solar panels or even a backup battery system, which is not the case for a heat pump. Oil / propane with local power generation can be fully off the grid.
Edit: the lower capital cost means you can also _afford_ a backup power supply.
Heat pumps are hardly much more complicated than plenty of other household appliances, like washing machines, microwaves or fridges (which are heat pumps!). There’s plenty of scope for them to become a lot cheaper than they are today as they are manufactured in larger volumes.
Also, the largest heat pump in my house (I have a 6 kW and a 3 kW split system and a 5 kW air to water) also only uses about as much power as an electric kettle (~2 kW) most of the time here, I’m sure that could be powered off a small generator…
Gas/oil furnace can be powered by a small generator, solar panels or even a backup battery system, which is not the case for a heat pump. Oil / propane with local power generation can be fully off the grid.
Edit: the lower capital cost means you can also _afford_ a backup power supply.