No, chickens don't go into shock or die. The same people who say that forget that they are the ones saying "chickens are tough."Still, they might die because they go in shock when they go outside where it is below freezing or however that works.
We heat our coop to 40F. Say the power goes out and it's -10 outside. First of all, it's an insulated coop full of chickens, it's going to drop down but slowly, and second, it'll never get down to -10.
One way they'd go into shock is if you put them outside in subzero temps when you just had them in the house.