There are two statements made here by the installer. One of them may be valid, one of them is complete b.s. The two statements are:
- Heat pumps won't work in cold weather.
- Heat pumps will cost you a lot because electricity is expensive in MA.
Regarding 1, the installer doesn't know what he is talking about OR he sells a line of heat pumps that don't perform at less than 17 degrees Fahrenheit OR he is really a fossil-fuel biased boiler/burner guy.
Find a different supplier. Central heat pumps or mini-splits that supply good heat (very warm coming out of the register or mini-split outlet) at temperatures as low as -5 degrees F are easy to find (Fujitsu, Mitsubishi, etc.) and are also available and supply good heat at temperatures as low as -17 degrees F. I know - I have them and they work great. Others on this site have them also. One consideration is that the efficiency in warmer temperatures is better if you don't get a unit that operates at extreme lower temperatures and warmer weather (minimum operating temperature of +17 degrees F) heat pumps cost less also. You could always get a heat pump to replace your coal burning in spring and fall and warmer winter days, and burn your coal unit only when needed. Lots of people on this site do that.
Regarding 2, I don't know what rate you pay, but there are on-line calculators that can tell you operating costs. At -5 degrees F, your coefficient of performance (output BTU / input BTU) will be about 1.8, but at warmer temperatures (above 10 degrees, which is most of the winter) you will average about 3 to 4 COP (if you just used 3.5 as an average you will be pretty safe in the calculation).