It is hard to answer since you do not show your location and zone. Here are some questions and general comments.

In what zone/state do you live? Where you live makes a difference.

Is the soil kept moist? Lack of moisture could be a problem. If the ground does not freeze where you are at, some moisture is needed during dry fall/winters. Check it by inserting a finger into the soil and adding water if it feels almost dry or dry. Also, make sure that the plants have 3-4 inches of acidic mulch to preserve moisture and protect from winter winds and weather (if any where you live).

Have you checked if the Encore Azalea variety that you have is hardy to your zone? Autumn Amethyst, Autumn Carnation, Autumn Cheer, Autumn Lilac, Autumn Royalty, Autumn Ruby, Autumn Sangria, Autumn Sundance, Autumn Sunset, and Autumn Twist are hardy to Zone 6 but Bravo, Carnival, Debutante, Embers, Empress, Monarch, Princes, Rouge and Sweetheart begin to show hardiness issues in Zone 6.

In some cold climates, evergreen azaleas are actually semi-evergreen and may loose spring leaves when winter comes (but they keep summer leaves) or they may loose almost all the leaves.

And if you are located in warmer areas like the South, some of these evergreen azaleas produce nice fall foliage when the spring leaves fall. In this case, enjoy the show and do not worry.

Encore Azaleas are more common in the deep south. Further north like in Virginia, the continuous bloom is less pronounced or non existent.

One of the features of some Encore azaleas is the fall color the leaves get. Since they are evergreen the fall foliage persists.

'Autumn Princess' offers burgundy fall foliage and as an evergreen shrub, that gorgeous color will last throughout the entire winter as well making this azalea a great choice for landscaping and garden interest.

All evergreen azaleas get 2 flushes of leaves. The first set is in early spring and the second set is in mid summer. Neither set lasts a full year on most evergreen azaleas, but the net effect is that they have leaves all year. In more northern climates, some evergreen azaleas loose all leaves before spring.