Apparently, a horses coat is warmer than a blanket (1 inch of fur = 2 inches of blanket). We tried that one year (I'm in Canada too) and they seemed to be fine. They did have a shelter though. If you aren't riding them hard at all they are fine when they are fuzzy, if they break out any sweat though, you have to make sure they are fully dry. Also, if there is rain you should probably put a rain sheet on your horse because his fur won't protect him from that.
"You know, for as long as I can remember, I've had memories." ~Colin Mochrie