It costs a lot of energy to make leaves and keep them alive and trees lose lots of water through leaves. So when it gets cold and wintery and the tree needs to conserve its water etc, the easiest solution is to lose the leaves and essentially hibernate. So now the tree wont lose water through the leaves. Once the weather warms up, the tree can grow its leaves again.
As Michael said it’s all about the trees conserving water and protecting themselves from frost damage and drying out over the winter. There is also much less sunlight available during the winter months so it doesn’t make much sense energy wise for the trees to keep maintaining their leaves.
That’s why evergreen trees which don’t lose their leaves need special adaptations to be able to survive over the winter. Some of them have small, pine-like needles which are tough and have a small surface area so they can conserve water. Other evergreens like holly have thick, waxy leaves which do the same thing of holding onto water. Another reason for evergreens to keep their leaves is that they usually come from high-latitude environments with very short growing seasons. So when the spring returns they need to make as much use of the increased light as possible. They’ve kept their leaves all winter so in the spring they’re ready to go! Deciduous trees aren’t in as much of a hurry so they can afford to take the time and energy to grow new leaves in the spring.