Horses that don't have to breathe barn air are healthier even when we feel the cold. They grow as much coat as they need. Snow is a terrible abrasive so it's best not to use boots. Blanketing often causes a horse to overheat and it packs his hair down which then loses it's insulating properties. The overheating often leads to the chills.
You can also add that over blanketing can also effect their ability to "puff" out their winter coats to trap the insulating air when they're not covered.
I've always figured that if they feel the need they know how to come in
In 40 years if I had a 100 dollars for every day that any of mine came in on their own it wouldn't make much of a retirement fund.