Leaving garden hoses connected to external water faucets can result in frozen and possibly split water lines. At this home inspection in Rochester MN, I came across two hose faucets that had garden hoses attached to them. These hose faucets are the Anti Freeze/Anti Siphon type and are designed not to freeze… provided you remove the garden hoses.
The actual shutoff for the valve is approximately 12 inches in the wall, leaving it safely within the heated portion of the home. These are designed so that once shut off, all of the water from the shutoff valve to the spigot will drain, leaving about a foot of water line with no water in it. The problem with leaving garden hoses hooked up is that the water is not allowed to properly drain from the hose faucet. If this freezes, it can result in a split in the pipe between the shutoff valve, and the spigot. You won't know there is a problem until spring when things are thawed and you use the water valve.
To prevent this problem it is recommended that all garden hoses be removed prior to winter.