Liliane, it might be as simple as air loss through any gaps in the piping. If there are any exposed heating ducts, get some metal tape (not duct tape - it actually isn't for ducts) and tape any joints or spots where screws enter the ducts off of the supporting banding. Also, is there a cold air return in your area? It is usually a much bigger grate, situated on a wall or sometimes in the floor and that allows for better air flow. If there isn't one, that could be an issue, too. I'm not sure what is involved in having one put in, though.