The answer depends heavily on the material of your furniture. True all-weather materials like powder-coated aluminum, teak, and certain high-quality synthetic resins (HDPE) are designed to withstand winter elements, though using protective covers is still highly recommended. For these types, you can leave them outside with proper preparation.
However, furniture made of steel (unless stainless), wrought iron (without a perfect finish), standard wood, and most cushions should be stored indoors for the winter. Moisture from snow and rain can cause rust, warping, mold, and irreversible damage.
If you choose to leave suitable furniture outside, follow these steps: Clean it thoroughly, apply protective oil or sealant if required (like for teak), use tight-fitting, breathable, waterproof covers, and elevate pieces off wet ground. Never leave cushions outside, even covered, as trapped moisture will cause mildew.
In summary, while durable all-weather furniture can survive winter outdoors with protection, storing less resilient pieces is the safest choice to ensure longevity and save on replacement costs.