I shut the windows in my coop only under 2 circumstances, and open them when the circumstances change back:
1. Significant wind chill warnings during winter. We're talking the ones where the weather people say you're going to die within 15 minutes. And I still leave the windows cracked a few inches.
2. Blizzard with blowing snow because it blows into the coop. Sometimes I forget to close the windows during this situation, too.
Otherwise I leave the windows wide open. Caveat: my windows are below my roosts, with a small vent to the side of each coop, above the roosts. Nothing is blowing directly on my girls. The coop actually stays really warm (you'd be surprised how warm it is) even with the windows open, compared to the outside. Each chicken puts off heat, and more importantly, puts off ammonia and vaporized steam. If you don't keep the windows open it gets foul in there, fast. Excess steam with the cold weather makes frostbite worse. So I leave the windows open as much as I can and have not had a problem. This will be my 6th winter with chickens. I also do not heat the coop; I do run an extension cord and heat the water so it doesn't freeze, though. I also have ducks and turkeys. The turkeys live with the chickens, so they get the same treatment, the ducks live in a wire and wood crappy duck house. They get a (leaky) tarp over top of them and my old wedding quilt when one of the two above situations happen. They get lots of hay on the ground to bury into. I will have guineas this year, so hopefully they fare as well as the others do.