A 100% efficient furnace will still lose heat through too little insulation.
You'd be paying to heat the air outside and around your house.
With perfect insulation, the heat given off by your appliances and the people in your house (about 100w per person) could heat your house, if you never opened windows or doors and had no infiltration losses.
Here's how much insulation you should have
The law of diminishing returns says don't add more than this.