I had one who started doing this after about a year roosting in the coop, and she was determined to do so whatever the weather. She chose a dense conifer and worked her way onto a branch inaccessible to me, about 7 feet up. After a couple of weeks I became more relaxed about it, and liked the idea of her doing what comes naturally. Gradually the rest of my small flock followed her, and I saw the positives - chiefly no need to shut them in, let them out, pooh pick the coop each day etc..
This continued for about 6 months, but everything changed in a week. Three who roosted on the same original branch were taken on one night overnight, two who roosted near the top of the tree were taken on different days in the subsequent days, apparently when they came down in the morning. I penned the last to try to retrain her to use the coop, but after a fortnight she escaped, and went straight back to roosting in the tree. When I stood guard at the tree at dusk, she went to another tree to roost. She was lost early in the morning 5 days later.
Roosting in trees seemed great while it lasted, but it might not last long. Those birds clearly preferred freedom, despite exposure to the weather and the risks (which they understood qua prey species; these were heritage breeds). And I can still see the positives of a free life, albeit short. But I'm not going to let my current flock do it if I can help it!