Wow!! That's what mine do. I've covered their coop so they can use the run, but the temps here in January broke records from over 100 years ago (I live in NYC - Brooklyn to be exact) so I took them inside into the basement to the "emergency shelter". They HATE that shelter, but when I went to put them back outside the poop hit the fan. They wriggled, wiggled, sqawked, screamed, whined.........you get me. Then they ran back into the back door, flew/tripped/slid back into the basement and gave me Team Super Stink Eye.
Days later the snow disappeared in most of my yard and they came out to peck around. Nope - too cold. I had left my back door open for my dog and he AND the chickens ran in and took over my kitchen. Sheesh!! I hate the cold too, but come on. LOL.
I'm glad I found this thread, as I was concerned if they were being spoiled city birds, but it seems from this thread that mine are normal. I feel so bad. My chickens, feral cats and my dog are miserable during this long winter. I am too - I hate it. Last weekend it warmed up (to 51 degrees!!) and the chooks were out and about alllll day Saturday. They barely made it to the coop for night time. LOL.
Now, it's cold again - so it's out to free range (for about 10 seconds) then into the coop or my kitchen, whichever is closest. LOL.