No they don't ....
What's really a pain is trying to get them in to milk them when the wind and rain is blowing into their faces. Just like us, they hate it, and want to turn and stop
What they will do is stand or lay in the lee of a hegerow if the wind is strong and cold, or it's raining. However, to make them do that, the chances are that the weather would be too extreme to fly!
SS