You turn on your heater and feel nice & warm, but 5 minutes after turning it off you get cold again, why?

In your room, it’s not just air in it that you need to heat up, because air doesn’t hold heat well.
It’s the furniture, carpets, curtains, and all the rest of the stuff in there that you need to get warm.
Once you have heated the furniture, carpets etc… up they store heat and take time to cool down releasing heat into the room as they do so.
As long as you have decent insulation to stop heat escaping from the walls & windows, and have dealt with the draughts, once your room is up to temperature, it should stay warm for some time without your having to add any more heat.
It takes much longer to heat these things up because they’re solid and denser than the air.
The more cold stuff you have in your room, the more heat energy you have to supply to heat them all up to get the room to the temperature you want, and that takes time.
When you turn your heater on, don’t switch it off just when you feel warm wait for the room itself to get warm, then set the heater thermostat so when the room eventually cools your heater turns itself on for just long enough to boost up the heat.
Doing this your room will stay warm for longer and it will cost you less.