Sufficiently large kerosene space heaters can create the same amount of heat as smaller furnaces, but large enough units require ventilation, which reduces their convenience. One of the advantages of furnaces is their ability to spread heat efficiently.
While heat spreads to fill rooms, it does so relatively slowly, which creates hot and cold spaces within the room. Fans can circulate the air, but they're less efficient than HVAC components furnaces typically connect to. Kerosene heaters small enough to use without a ventilator generally produce a relatively small amount of heat; those looking at a large enough space heater to compete with standard furnaces are likely spending more than enough to have a furnace installed.