A mining machine is almost as efficient in converting electricity to heat as a space heater since almost of the energy used in semiconductors are converted to heat. It just loses out mostly due to the fans and other mechanical parts. And it would probably work better since the fans in the machine will help spread the heat around the room better.
It doesn't lose out due to anything. Precisely 100% of the energy that the machine uses becomes eat. Even the energy that goes to fans turns into kinetic energy of molecules, which is pretty much the definition of heat. The friction in the bearings, the current through the wires, it's all heat.
If you don't see why this must be, consider a computer locked inside a room. All that can pass into or out of the room is electricity (through wires) and heat (through the walls of the room). Now imagine we let the room sit until it reaches an equilibrium. All that is going into the room is electric energy and all that is leaving the room is heat. If you assume the conversion wasn't a perfect 100% electricity-to-heat, that would mean something would be either building up in the room or being depleted from the room. But that would contradict our assumption that we let the room sit until it reached an equilibrium.