Well, the muddy answer is, that depends. Honestly, the best gauge of how your chickens are doing is their behavior. A chicken that is walking around, relatively active, eating, drinking, pooping, pecking, scratching etc. is doing well. You know what your healthy happy chickens look like. A chicken that is lethargic, stands still, huddled, puffed up, eyes closed, etc. is not doing well. Chickens are quite cold hardy, but sometimes, for one reason or another, we may have a chicken that struggles in the cold. It's up to you to recognize a chicken that is not doing well and take steps to give it a little extra TLC. Disease that is dormant in your flock can also surface at times of stress, extreme weather (heat or cold) is a time of stress.
It was below zero Fahrenheit this morning at my house already. The chickens aren't happy about it. I'd say once the temp drops in the single digits is when they start taking issue with the weather. They will choose to stay in their coop until a few hours after sunrise when things warm up a bit. They might run out and eat a few bites and then run back inside. I might see half the flock outside and half inside. Yesterday afternoon there were two girls outside drinking water through a hole they'd pecked in the ice. The other girls were in the coop watching through the window. They are all fine. They self regulate. They go in and out as they wish. The ones inside are still active, awake, walking around and scratching in their bedding even though they are hiding from the snow and the wind. I don't worry much about them anymore.