Do I need to winterize 40' underground hose?
Blow it out with air. 

Over simplified example: the ends may freeze first, then when more freezes in the middle it has nowhere to go.

There is a gadget for this if you want to use a compressor.   Essentially an adapter "air compressor male to hose fitting".  

These adapters are available in several configurations notabley male and female hose bib such as: 




Or, if unavailable, make one with 2 or 3 parts from the big box store.