Some seeds break dormancy after freezing (because that means winter is over and its ok to sprout) but chile originated in warmer climates, so I doubt that they would respond in that way. And they may never have developed a tolerance to being frozen...so like meinchoh said, freezing could damage...
I've got some undergrad students in a class I'm teaching who are doing a senior project on capsaicinoid extraction and they asked me the very same question. Didn't have an answer for them, so did a journal search and found only one article ("sensory properties of naturally occurring...