If a space heater is a wire which heats up, then it is not 100% efficient at producing heat. They also produce visible light, as you can easily see by looking at one. Even if all types of energy produced by a heater will eventually be converted to heat, if the energy like light energy converts to heat 1000 km away, then it's not going to warm you up. This can happen because of a new-fangled architectural invention called the window, which can allow light to escape.

Nothing is 100% efficient.