No they stay in their hive all winter.
During the summer the worker bees live for an average of only six weeks. As fall approaches the queen reduces her rate of egg laying. Those that hatch approaching autumn will live over the winter for up to six months. The queen can live for a few years.
As temperatures dip below 50° Fahrenheit, Honey Bees form a winter cluster and stay in their hive except for bathroom breaks. This means they squeeze together as tight as possible around the Queen bee in the center of their hive. The bees rely on honey and pollen stores collected over the summer for survival.
They generate heat from eating honey and flexing their flight muscles without moving their wings. This perpetual shivering by the worker bees creates enough heat to keep the Queen at about 80°F. The outer part of the cluster is about 48°F.
There are still a lot of unanswered questions about bees. National Public Radio did an interesting interview Oct 4, 2008 with Professor Thomas Seeley of Cornell University. He talks about how it was discovered that only a few “streaker” bees scout out and then direct a whole colony to a new hive. Click on the link to hear the whole interview: Bees Follow Their Leaders