Most people are not aware that peppers are actually perennials! The reason they are usually grown as annuals is because the winter temperatures in most places will kill them. They are semi-tropical plants, and just cannot handle cold weather.
Accordingly, can you keep chilli plants over winter?
Freezing temperatures kill chillies, so the plants must be overwintered in a frost-free environment. Keeping them in an unheated greenhouse or polytunnel won’t work, so don’t even think about it. The temperature, however, doesn’t have to be overly warm since the plants need only to survive, not thrive.