You forgot to take into account the aromaticity of the compounds. In the series thiophene - pyrrole - furan, thiophene has the largest amount of aromatic character (only slightly less than benzene), which makes it more resistant to electrophilic attack. Another effect is the character of the 3p-2p orbital overlap, which is weaker than 2p-2p overlap, thus resulting in less electron density within the ring and a smaller stabilization of the cationic intermediates in electrophilic substitution.
Furan, on the other hand, has a much larger electron density (remember: electronegativity rules single bonds, free electron pairs rule double bonds), making it much more reactive towards electrophiles.
A simple example to highlight the difference in reactivity is the Diels-Alder reaction between a diene (in this case furan or thiophene) and an electron-poor alkene, a dienophile. Thiophene only reacts with dienophiles under forcing conditions, while furan is so reactive that reactions can sometimes be carried out (or have to be carried out) at very low temperatures.