For adult chickens, I let them decide what they want to do, unless there is a severe storm headed our way. Like with tornado warnings, that type of thing. Then I keep them confined to the run, so they aren't caught out at the edge of the property, with no time to get back to the coop. Mine range over a couple of acres, sometimes several acres, when the gates are open.
Young chickens are the age group that I watch out for a little more. Sometimes their first rain or first snow is a little disorienting to them and they don't know what to do, except hide. They can definitely get stranded away from the coop and in more moderate weather that wouldn't stop and adult.