There are so many determining factors when deciding this. For example, my retired mare keeps her winter coat, however, she can not tolerate colder conditions. When we lived in Kentucky I would have to triple blanket her to keep her comfortable, as she had lost some weight. But now in FL, I still allow her winter coat to grow and only need a light sheet or lightweight blanket on the colder nights. Ideally I would've loved for her to only require her winter coat, but now that she's older I think it's harder on her so we only do it on extra cold nights. Now my show horse, he's a different story. He is show clipped all throughout the season, including the winter. Because of this, we do sheet/blanket as it gets cold.
Not all horses. Some horses can stand very cold weather if they have a thick winter coat. Those don't need a rug, shetland ponies or haflingers are an example of breeds that can live perfectly without a rug. But if you ride regularly it's a good idea. Your horse will build a less thick coat of hair if you start with rugs in time. This will help the horse with less sweating. For a clipped horse you have to, otherwise it gets very sick.