Both avocado and mango trees lose leaves all year 'round in my garden. So as long as the plants are growing new leaves as they lose the older ones it may not be a serious problem.
The avo losing all its leaves is more worrisome, for sure. You can check if it's still alive by scraping a tiny bit of bark off the topmost twigs with your fingernail. If there is green under the bark the tree is still alive. I agree with Tiffany that you should pull that one out of the pot and check the root ball that it hasn't compacted. You may need to replace all the potting soil around the roots.
These naturally grow to be big trees, so to grow them where you are, you really need to get them outside into the sun as soon as it's warm enough in the spring, and then feed and water them like crazy all summer. Saying they will "tolerate" down to 40deg. F is very different to trying to grow them outside when the lows are in the 40's and the highs aren't above 60. They will certainly go dormant, and may die back or die altogether. We get the odd night down into the 40's in winter here, in a normal year. The one year we had a run of very cold temperatures for a couple of weeks, a lot of people lost their mango and avocado trees. Warm sun, warm soil, warm water would be my advice.