If the wind was blowing in through that door and directly on the roosting chickens, yes.
Otherwise, probably not.
In most coops, the door is at floor level and the roost is raised above that level. That is usually enough to keep wind from blowing onto the roosting chickens.
If wind blows a bit of rain or snow in through that door and gets the bedding wet, I would probably leave it open anyway. Then the next morning, shove that wet bedding out into the run and add some fresh dry bedding in the coop.