It gets less effective, down to running at 100% and not moving heat. Heat pumps work by expanding a gas, which cools it. Since it's cold, the "heat" outside was the gas. Then the gas is taken inside and compressed, the gas heats up from the compression (since all the energy is squeezed into a smaller space, effectively speaking). Now that heat can be transferred to the colder air inside. So long as the expanded gas turns colder than the outside, it can absorb heat.

From a Google, common ones can go as low as - 25C, which means they are able to cool a gas to lower temps than that when expanded. There is still heat to get, even in -25C.