When you plant a daffodil bulb, you are planting a dormant plant. It must break dormancy and 'harden off' before our Minnesota ground freezes solid, sometimes to six feet deep! Our trees and shrubs that survive our harsh winters 'harden off' as well, but they are already actively growing and start getting ready for winter in late August.
Dormant bulbs must have cool soil temperatures, below 55° F., and water to break dormancy. They begin by growing roots. Six weeks of root growth, minimum, is needed before our ground freezes. The roots convert the water stored in the bulb to a carbohydrate. The carbohydrate acts as anti-freeze and the bulb will survive frost, no matter how deep it goes! Some types of daffodils do not 'harden off' as well as most. See Gallery of Minnesota Daffodils for recommended varieties.
If the roots don't have enough time or enough soil moisture to convert water to carbohydrates, the water expands as it freezes and bursts the cell walls of the bulb. Next Spring, you will find only a mushy mass where you planted your bulbs.
Sometimes an early thaw will cause Daffodils to start actively regrowing too early. Mulching after the ground freezes is highly recommended to prevent this. Refreezing can kill leaves and flower buds that have left the bulb, but it usually does not kill the bulb. However, you will definitely lose bloom for one season.