This is a good question, and not something that I have seen a firm answer. I can only go on my own experiences, and two in particular.
I had a Belgian friend who brought his cacti (all Mammillarias) into his house over the winter simply because he could not afford heating costs. He had a spare room with a window which faced west, I think. He didn't heat this room but it gained some heat and remained frost free from the surrounding rooms. He made sure that he stopped watering quite early, so that growth had ended by the time he brought them inside. His plants survived and didn't appear to suffer.
The second is closer to home. We moved house 4 years ago, actually today, as it so happens. I bought second hand supermarket stacking crates and packed all my 1800 plants into them. Our new house had no greenhouse, so the crates went into the garage exactly as they had been transported - stacked up to 5 high, with taller plants (such as M. angelensis, dioica and other Baja species) on the top. The garage was a large double garage with tiled roof, so quite a large volume. I put one 3kw heater on, with a 5C thermostat, and left them all winter, until the following late March, by which tie the new greenhouse was erected, staging built and electrics installed. I then unpacked the crates, and worried that having been kept in relatively dark conditions all winter that some plants might scorch. With so many plants I couldn't really shade some and not others. I do expect to lose a few plants over winter, but inn fact I lost very few, and I had good flowering on many of the species. I had worried that this might be impacted, as I had always believed that winter light was needed to help the formation of flower buds inside the plant body. But it didn;t seem to be.
So a couple of stories, no real conclusion, though I believe that in cold countries like Canada plants always overwinter inside.