That's correct. Rosehips are perfectly content to stay put, through the winter. The birds and other wildlife may have other ideas, though. I'd leave them until after the first snow or at least heavy frost, then pick what you want - of
course, leaving some for the wildlife. Keep in mind, each rosehip has many seeds, inside each one. And, the hip, itself is quite high in vitamin C, so don't toss those - eat them! Maybe dry some for later, too.
To harvest them, check out this link:
https://gardenerspath.com/plants/flowers/save-rose-seeds/