These compounds Furan,Pyrrole and thiophene are certainly more reactive than Benzene.Out of these, Pyrrole being most aromatic,followed by Furan.Furan is comparatively less reactive because O-atom (in furan )can accommodate accommodate a positive charge less readily at N-atom (in Pyrrole).
Thiophene is being followed by these two and is least reactive.It is so bcoz +M-effect of sulphur is weaker than that of oxygen bcoz overlap of 2p-orbitals of carbon and 3-p orbitals of sulphur is less than 2p -orbitals of C and O -atoms.
That's why order of reactivity is something like that,as you mentioned.
Pyrrole>Furan> Thiophene>Benzene.