Your heat pump is basically a refrigerator for the outside; it cools the outside and puts the heat inside. Efficiency is a function of the temperature difference between the two area; it is simply easier to move heat from a 10C outside to a 20C inside than it is to move heat from a -10C outside to a 20C inside. Efficiency goes to hell when temperatures drop. So, roundabout 5C the heat pump turns off and a backup heat turns on. Hopefully that is a gas furnace, but it can be electric heat.
As someone else said, when it gets colder you are feeling the heat from the supplemental source; it is typically much hotter than the heat pump because it has to have the capacity to heat your house in really cold weather.. Heat pumps really only make sense in warmer areas where it rately gets below freezing. (or where electricity is artificially cheap for some reason) In Montreal you will be using nothing but the supplemental heat for almost the entire winter. I just replace my heat pump with a regular AC and a furnace for that reason; none of people quoting on the job even asked about putting in a new heat pump.