Who is your utility? It really shouldn’t be 2-3x much more expensive to operate, but could depend on your rates.
Colorado is actually a relatively heat pump friendly climate; it can reach incredibly low temperatures some winter nights, but once the sun is up it’s back to 20-40F. Compare this to months of continuous deep cold near the Great Lakes.
Xcel Energy. I'm usually at $300/month for electricity from November-March. A comparably sized house with an efficient furnace would be $100/month in this area (or so I've been told). My non-heat electric usage works out to something like $50-$75/ month. Our electric rates average 13-14 cents per KWH, but we just moved to timed metering, so that can vary a lot depending on peak hours.
Wow, that's nearly 70kWh/day for the entire winter. Most units are only 4-8kW, which suggests your system is running 50-100% of the entire winter.
Using these numbers and an average COP of 2.5 (guess) you're at about 6 therms of gas per day, or about $5-6 while the electricity sets you back about $8.
When was your home built? When I was in the northern front range, we averaged maybe 1.5-2 therms of gas per day.
Colorado is actually a relatively heat pump friendly climate; it can reach incredibly low temperatures some winter nights, but once the sun is up it’s back to 20-40F. Compare this to months of continuous deep cold near the Great Lakes.