It's unlikely that they are dying. Azalea leaves, especially the older leaves, often turn colors in the winter and, since the weather each winter varies a great deal, their reaction to it varies a lot, too.

Red, yellow, and most of what we think of as autumn leaf colors can be found. It can be quite attractive.  This year this seems to be accentuated by the abnormally warm weather. You'll notice this of azaleas as you drive around. 

  Leaf color returns to normal in the spring.  Some leaf drop is also normal each year, but if you're seeing a lot there may be additional stress on the plants.  Look over the chart of symptoms in this IPM publication: http://extension.umd.edu/sites/default/files/_images/programs/hgic/Publications/HG51_IPM_Azaleas_and... 

Azalea lace bugs, in particular, will make leaves turn pale or white.

We have not had a great deal of rainfall this fall/winter in many part of Maryland.  Be sure your azaleas have plenty of moisture around their roots before the ground freezes.

ECN