Does anyone else have birds that would rather sleep outside than inside?

I have an aviary (it's quite big, too) and my budgies and canaries sleep inside the shelter, where it's warm(er) and protected from the wind and rain. But then my quail, zebra finches and gold finches all sleep outside! I don't mind so much in the Summer when it's not that cold but here it's the middle of Winter and freezing! They're crazy!