Maybe if it wasn't installed correctly. Ours is an infrared heater (much safer than the ones with the exposed elements). It also has a rabbit wire cage around it so that none of the girls or any of their debris can come in contact with it, and it's pretty high on the wall so they shouldn't have...
We have a small space heater in the coop that works double duty. Not only does it keep the girls warm but it's close enough to the water reservoir to keep their water from freezing. My grandmother used to tell me that chickens get warm from the inside out, which seems to explain why they love...