As long as your pigeon loft or coop is well protected from the winter elements they will be fine.
The housing front should face the south or southeast to get maximum morning sun exposure and the back facing the north where the cold wind has a tendency to blow in from. Keep moisture and drafts out as this is not good for pigeons of any age.
I would provide the parents with some nice nesting material to help keep their babies warm as well.
I install plexiglass and plastic covers over my openings and door to keep cold drafts out. I maybe go overboard, but provide a non-teflon heater to take the bite out of the cold for them.