When you use your hose and turn the spigot off, there is still water in the wrapped-up hose, including some water still in the line going to the spigot. During the colder temperatures, this water can freeze, causing the water in the pipes to crack. In cases where you have a “frost-free” spigot, you may not know there is a problem until you turn the hose back on.
The crack on the frost-free spigots usually occurs behind where the washer is, which is on the inside of the house. Then, once you turn on the spigot, the water proceeds to where the crack is (on the inside of your home), pouring water into the house. On a spigot that is not frost-free, you may notice the crack in the lines right away.
By removing the hoses, there is no water that is able to enter into the pipes. However, it is always a good idea to turn off the shut-off valve inside your home (if you have one) during the winter. If you don’t have a shut-off valve for the spigot, one can be installed. Unless you are competent in plumbing, this is best left to a professional.