Terre cotta is a porus clay body.Thats why you have to water the ones with plants in them soooo many times duering the summer.
I have had empty ones in winter in Z6 but keep them upside down ,nothing in them. A few didnt make it.
The longer the pot walls have water in them the most likely they will freeze and crack. Terre cottsa that is glazed or decorated will be a gonner.
I have stopped buying clay pots in any size or shape. The larger ones 18-20 inches are too heavy to drag inside even if we did have room.
I laid my large clay pots with plants in them,on their sides for winter,this way they dont gather moisture from layers of snow on them.
Covering with plastic wouldnt hurt either.
I had ceramic pot with clem. and hosta in it.Laid on its side and the sqy=uirrils dug out the clem trying to bury seeds etc. I nearly lost both plants.
Its just not a good idea to leave clay of any kind outside, even in a protected area.Moisture in the pot walls can fracture the pot if they freeze and thaw over a winter
.It doesnt have to snow.Just moisture and weeks of freezing and thawing will shatter the piece.