It depends on how much vitrification occurred during the firing process.

On one extreme, you'll have inexpensive terra-cotta or pots from box stores that are designed for interior design. These are fired just enough to give the pot rigidity and are still very absorbent and permeable to water and air. When the container absorbs water into the tiny pores between clay particles, it can freeze. Water expands as it freezes, creating tremendous pressure that tries to separate the clay particles in the pot walls, causing breakage.

On the other extreme, pots that are hi-fired at extreme temperatures see fusing of the clay particles, making them highly resistant or impenetrable to water molecules. These pots are safe to leave outdoors all winter. It is difficult to judge what kind of pot you might have, unless the manufacturer makes some statement as to the "cold-hardiness" ;o) of the container(s).

Al