It's currently -4F here and my chickens are outside scratching, eating and drinking. It was -21F last night when they were in the coop. Is your coop ventilated? There is something wrong if you lost chickens. Reds are considered cold hearty and I've had leghorns which are warm weather birds all winter here before with no problems but losing comb points to frostbite.
To clarify I don't insulate or heat but provide adequate ventilation and dry litter/bedding.
Edit: OK, read all of your first post and see you don't have a sheltered coop or a tarp wrapped wind break on prevailing winter wind sides of run.