Perhaps that's why your chickens are noticing the cold, you're spoiling them! If they're allowed to be cosy inside a warm house, when you put them back outside in their henhouse the cold is going to feel even colder. Chickens don't like the wind, make sure they have a shelter from the wind and rain. If they're outdoor chickens then they really need to get used to the cold weather, I think by letting them into the warm you are making it harder for them.