What kind of hydrangeas are they? Bigleaf hydrangeas - the mopheads and many lacecaps - form latent flowerbuds in late summer and fall that can be damaged in cold temperatures. With the reblooming types (like Endless Summer), this is not much of a problem as they will still bloom on new growth but just a bit later in the season.

If not reblooming (and you can always do the same for them as well), then you want to offer some winter protection to avoid bud damage. This is SOP for zones below 7.