Actually chickens DO die of exposure on a not-rare basis, as witness a number of BYC threads among other things. However it is not always clear how much some other health problem may have contributed -- if a chicken is feeling poorly for another reason, cold (or cold and wet) may be just too much for them to cope with, where they might've done if they were at the top of their form.
Also sometimes people lose chickens to the weather because, unbeknownst to the chicken owner, there is some reason they really don't want to go into the coop, so they stay out much longer than they otherwise would.
HOWEVER, that said, yeah, chickens generally manage their own affairs pretty successfully. Though IMHO it doesn't hurt to keep a closer eye on them when the weather is really foul, to watch for any one(s) not acting normally or apparently reluctant to move around or squished into some sheltered area for a long period of time (such a chicken may be ok, but should prolly be checked on).
Good luck, have fun,
Pat, with roofed runs for all but the turkeys so not having a whole lot of personal experience with the subject