The reasoning: when you heat up the house, then your boiler needs to produce constant high-temperature water. When you keep the house at the same temperature, then the boiler produces much lower temp water and it is more efficient.

Insulation also matters because if your house has outer insulation then it means that heat transfer from the house to the environment is mostly blocked, but cross-room heat transfer is likely not (through the walls). Therefore it is better to heat the whole house than heating just a couple of rooms because if you do the latter then you'll end up heating the whole house anyway but you're using less surface area (meaning you need higher flow temperatures, meaning less efficiency).