Some varieties of chillies reach their maximum splendor (such as the chinense capsicum varieties whose fruit ripen in about 120 days) when autumn rains start, the peppers also maturing in that period, so you have to take some precautions or otherwise, the plant will die.
It's easier done than said.... it is important to keep the plants out of the wind and rain and keep always the earth wet, avoiding stagnant water. The greenhouse is the ideal place but if you do not have the opportunity or the space to use one, even an indoor space is fine. It just needs to be bright in order to avoid drying out the fruit and branches.
Another way of leaving the plants outside during the winter and keeping them covered as much as possible is wintering. In other words, cutting at an angle (45 degrees) above the 3rd nodule (between the 4th and 5th is perfect). Don't cut under the 3rd otherwise, the plant will die. The cut will be about 7 to 9 cm from the ground. It needs to be a clean cut and if you have not done it too late (you should cut as soon as the last chillies are harvested and the leaves begin to fall) and if the plant does not remain in the cold, it will survive.
Take into consideration that the last time it snowed, a whole layer of snow and ice formed over the pots of my plants. I removed the entire block of ice and many of my plants made it through the winter without issue, but some of them did die.