Updated: Apr 27, 2022
It's depends. If your horse lives in a frigid climate and grows a thick woolly coat that makes him look like a Sasquatch, you're probably fine - unless you see shivering and/or weight loss.
Location, Location, Location
If you live in the south and it was in the sixties yesterday and this morning the wind chill is 10 DEGREES (which is exactly what's happening right now!), you bet those horses are wearing blankets! Their coats are not suitable for this kind of weather. Not only is it cold but the wind is wild and that huge of a transition can put a lot of stress on your horses' systems, which blanketing mitigates.
Shelter Helps...to a Point
Don't assume your stalled horse is comfy unclothed. Horses generate heat through movement. When movement is limited, a chill can set in. Of course shelter makes a difference, but when it's really cold enough, it may not be enough.
Just Feed Lots of Hay
It's a common belief that if a horse has hay in front of him, he'll stay warm. Horses have an internal furnace that runs on fiber, which hay provides. It's very efficient too, but it isn't always enough. Even though the furnace is getting enough fuel, cold air could draw away heat faster than your horse can generate it.
Let's do the Math
A horse can only eat so much hay. It takes time to chew and they have to rest and poop and such Let's say your horse eats enough hay to provide 10,000 calories. In order to maintain heat and body weight when the chill is on, he needs 15,000 calories. What's the result? A cold and stressed horse! He'll shiver and lose weight. The job of an insulating blanket is to reduce the caloric load your horse requires.
But Wait. There's More
When the temps plummet you can add high energy food like beet pulp, alfalfa, and ground flax to your horse's meal to increase his caloric intake. It's also VERY important to make sure drinking water is unfrozen and easily accessible. Add a generous amount of loose white salt in your horse's bucket. 1.5 tbls min per 1000lbs 2x day and provide a white salt block to trigger the thirst response and make sure your horse is well hydrated.
Yes, horses are well-adapted to cold weather, but they will appreciate a warm pair of jammies when the mercury dips lower than they can comfortably handle.