If I remember correctly the heat pump will call for the gas furnace to come on if the temperature reading on the thermostat is 5 or more degrees below the set point for heat. The gas furnace will start first then the heat pump will assist. Did you have the thermostat set for electric heat? Sometime the little slider gets dirty doesn't make the contacts correctly. Sliding it between AC/electric heat& gas heat a few times usually gets it to work correctly.
Did you wait long enough for the heat pump to engage. It usually takes 1 - 2 minutes for the gas furnace to start then the heat pump should also start.
If the outside temperature is below +35* to +37*F the heat pump will try to start 3 times then default to gas heat only. It could be you have a bad outside temperature sensor and it believes the temp. is too low for the heat pump to operate.
With electric heat selected you might want to put the set point of the thermostat only a couple degrees above the thermostat reading. This should activate the the pump only and not the gas furnace. If it doesn't come on it's time to check the outside temperature sensor and the switching valve.