Clearly not or, like my Whippet does, they'd burrow under their blankets, assuming they have one to burrow under. I make sure the ambient temperature overnight in Winter, is high enough for dog and human to be comfortable. And in general it's drafts that cause dogs to feel cold so especially if living out, dogs should have a kennel that faces away from the prevailing wind, and with a bench to get them up off the floor.
If a dog feels cold, he'll be restless. Cats feel the cold, or appear to, more than dogs but a cat will find somewhere to keep warm.