Some Lantana plants do come back every year and some don't as it depends on the Lantana Plant.
I've had some Lantana Plants that came back every year and others they didn't come back and I had to plant new Lantana Plants.
Also Lantana Plants usually die to the ground usually following a killing frost and at that point you can cut off the old foliage and mulch them for the winter.
If your Lantana plants are planted in pots then be sure to bring them inside away from the frost otherwise the frost could kill your Lantana Plant.
If you do bring your Lantana Plant in before the frost and keep them inside most of the winter then they may stay blooming all winter.