Natural gas takes millions of years to form so the world will technically produce more natural gas overtime so although it will run out eventually it will still be available years later.
Parts of the world currently have a limited supply this winter so it's best to conserve the natural gas as much as possible but for the natural gas supply to be fully depleted will take at least until the year 2088 which is quite awhile from now.
If we do run out of natural gas though then we'll just have to use another form of heating fuel such as wood heating, coal heating or electric heating instead.