TLDR: because historically, gas was cheaper still. Also, "but sometimes!" requirements to work during polar vortex weather, require more innovation than US manufacturers can be bothered to do. Foreign units do it just fine.
It's about social resistance and manufacturing ramp-up
Heat pump cost 2-4 times lesser of energy to heat than non-heat pump heater, then why are non-heat pump heater still very common ?
It's largely about social beliefs and varies a lot by country.
Look at the coverage of the Ukraine war of any of their high-rise apartment blocks. They are festooned with mini-split outdoor units. This is a poor country with a \$4000/year (\$333/month) per-capita GDP pre-war (I'm not using PPP because these units are foreign-made). And mind you, those tower blocks are in cities with district heating. The mini-split is there for supplemental heat and A/C, so they are comfort/luxury items.
But conversely you have the USA where "methane furnace, forced-air, with That 70's non-reversable A/C added to the air handling stack" is the gold standard - and I've shopped for HVAC and it's a nightmare trying to talk contractors into selling you anything else. There is a tremendous inertia in that sense - HVAC contractors discourage it so buyers don't buy it so contractors don't learn the tech so nobody's good at it so nobody recommends it, rinse wash repeat.
(1) At home, boiler and water radiator is used.
(2) For district heating, central boiler is used.
You're clearly talking about a country older than USA or Canada. But it's the same political and manufacturing inertia.
However, for some reason, suddenly on February 24, 2022 everyone wanted a heat pump at the same time. Manufacturers can't just "flip a switch" and massively increase production - think of all the supply chain problems of the last 2 years. They can't even do it with 152mm artillery shells, which are easy by comparison to a heat pump.
Actually, hydronics is an opportunity!
A great resistance to heat pumps in territories with home boilers or district heating is that the hydronic lines for the water radiators are built into the walls typically and not easy to service. A regular question is "can those existing lines be used for refrigerant" in a mini-split type system and the answer is "no".
However, I have enjoyed use of an amazing technology that makes full use of boilers and district heating. The system circulates "service water" exactly as it does currently. But instead of dumb radiators, water-air heat pump units are installed. In winter, the heat pump "radiator" takes from the warm water (which need only be 30-40C/body temperature) and extracts heat to fill the room, returning cold. This is how the system works already just normally at much higher temperatures with higher return temperatures as well. Having lower supply temperature means lower distribution losses.
But by summer, the heat pump "radiator" takes cool water (which can be 20-40C/70-110F or so) and pushes heat into the water to cool the room. For this to work, one modification is made back at the boiler or district heating facility. When the water arrives hot, it is directed into outside radiators -- or at large scale, cooling towers.
So in fact, this is a case where district heating certainly will scale to work with heat pumps in both heat and A/C modes. The only problem with these units is they contain the refrigerant compressor on-board. That makes them louder than one might prefer.
For (2) the reason may be there is not enough heat source to pump from to support megawatts of power output.
Sure. That's a problem. If you have a compact district heating plant inside a city, and you try to make it an air sourced heat pump, they're going to name the plant "Elsa"! It will be a virtual tornado of air flow, blasting the city for blocks around with very cold air - which will partially defeat its purpose, as everyone's homes will get colder and that will increase heat demand! No, a better way is needed.
But did you catch the part where heat pumps at the home radiator only need service water that is 30-40 degrees C? That is much easier to transport long distances. Consider a power plant 50km (30 miles) from the city center. It has plenty of 90C discharge water, useful locally, but it will cool off too much if shipped 50km. Heat pumps wipe out that problem. As said, an in-home heat pump "radiator" can make good use of 30-40C service water. And if updating every radiator in the district is not possible, the district heating plant itself could contain a very large heat pump, which extracts heat from the tepid power plant water, and makes 90C service water for distribution into existing infrastructure.
Similarly, if tepid deep groundwater could be obtained in sufficient quantity, that could serve the same purpose.
Modernizing all the radiators is best, because it allows lowering service water temperature to 30-40C, and that means anyone can select heat or A/C at their pleasure.
Cold weather, though?
I also heard in cold winter air conditioner won't work well as heat pump, is this true and is this a possible reason?
Not anymore. Cold-weather heat pumps have gotten really good.
Technology Connections studied the viability of heat pumps in Chicago, where the westerly winds tend to mean Chicago does not benefit from lake effect. They did extremely well - modeling against the 2019 Polar Vortex winter, being over-unity at all times, and beating "the benchmark" all but 141 hours. See 10:52 here.
Being written days into the Ukraine invasion, "the benchmark" was seeking maximum fuel-efficiency using entirely methane, either in an electricity plant or in-home methane furnace. 250% heat pump efficiency was deemed the breakover point where burning the gas at the power plant was more efficient.
However, the perception that heat pumps do not work in the cold will continue to be an impediment.