Insulation is never an actively bad idea (assuming a properly built coop in the first place, i.e. enough ventilation) - so it is not like you could go *wrong* insulating. Do you *need* to? Probably not, depending on the number of chickens and size of coop. But if you have the extra time and materials it can make life more pleasant (allows you to keep more ventilation open in winter, which is a Very Good Thing for air quality and chicken health)
If you are in a windy location, make sure you have vents high up on all 4 sides of the coop so you can close off whichever one(s) happen to be upwind in a storm, and/or make them 'hooded' by the roof eaves or separately constructed hoods.
Have fun,
Pat