They may still be alive. Loosing all leaves is normal with some azaleas, even some evergreen azaleas are semi-deciduous. If they have green buds, they may open to give new leaves and/or flowers. If there are no green buds and no leaves, then you may need to pray a little and hope for the best. If there are no shoots by the start of summer, then they are probably goners.

If the variety is rated to Zone 5, there may have been some extenuating circumstances. For example, they can only tolerate Zone 5 winter cold if they have hardened off. That means that if for some reason such as cool weather, short days and long nights, etc. they trigger a mechanism to suspend top growth and prepare for cold weather.

If too much fertilizer or the weather kept them from going dormant or tricked them into breaking dormancy and you had a cold snap, they may have severe frost bite. Usually the roots are still alive and may sprout new shoots.

If they are deciduous azalea which are rated to Zone 5, they will and should look like sticks.