If you put a glass container full of water in the freezer, it will crack and break! The same thing happens with chimneys. They are very porous (like a big sponge.) The rain and snow soaks in, then freezes/expands and thaws/contracts and starts cracking and breaking your chimney apart. Not only the bricks, blocks or stones but the mortar joints as well.
That is why it is so important to have your chimney “PROPERLY” capped and waterproofed.