It depends on whether you live in a modern 'warm' house that retains a lot of heat. In older houses the fabric of the building cools down thus making the rooms feel colder. When the heating is switched on, then this fabric needs to warm up in order to keep the air in the house warm. It is thought that having to heat the fabric first uses up a lot of energy, whereby if you kept the heating on tick-over that this would retain some of the heat in the walls and keep the rooms temperate.