It's a pity you haven't said what part of the country you live in - that would be helpful to provide a proper answer. However, Neriums aren't fully hardy - if you live somewhere cold, and they were fully exposed to the weather, especially if in pots, they may be dead, but leave them alone for now and wait till May - reassess then, and if there's signs of new growth, cut back to that.

And it's a good idea NOT to burn the leaves or any prunings as the smoke is toxic.