Mine did. But then again she is a buff orpington and I think they'll go broody anytime, winter or not. It was during the coldest snap of the season. None of her eggs hatched. :(
Some do. My little Serama/d"Uccle bantam hen tried once in the fall, once in the winter, and once in late winter/ very early spring. I discouraged her because it was just the wrong time of year for her to be raising chicks. I let her brood at the right time this spring, and she hatched out a lovely clutch for us.