It's more about moisture being able to get out. The coop should be draft free but it also needs to be well ventilated. The best is to have lots of vents at the top to draw the moisture out. The chickens will add moisture to the air as they exhale. If that moisture is trapped in the coop if will feel colder and you run a greater risk of frostbite.
ETA: If the coop is heated is makes it harder for the birds to acclimate to the colder temperatures. Some breeds are better in the cold but most should be just fine.
I have never heated my coop and while my rooster did have some tip damage on his comb, no one was worse for wear. Keep them out of the wind (and this goes for all animals and plants and trees) here in Colorado and they'll be fine.
