No, but they are less efficient. The heat has to flow 'uphill', so it's not surprising that the higher the hill the harder the device has to work. Even at temperatures approaching -30C though, heat pumps outperform oil and gas heating systems, according to research from Oxford University and the think tank Regulatory Assistance Project.
More: Heat pumps still work when it is cold. See also Heat pumps in older properties.
Originally posted as a FAQ.