As long as your perennials look good, leave them alone. Some die back after the first heavy freeze; others remain attractive all winter. I usually go through the garden several times each fall to cut down the plants that no longer look good. A final trip through the garden in late winter removes those that were left for winter interest. Most perennials can be cut back to within a couple of inches of the ground.
If some of your perennials were attacked by insects or diseases this past year, it would be a good idea to remove stems of those plants from the garden to reduce the likelihood that the problems will carry over in the next season. Rather than composting damaged plant material, dispose of it in the trash. Once the perennial garden is cut back, it's a good time to apply mulch. With the stems out of the way, it's easier to maneuver around the plants. And the additional mulch will protect the roots and crowns from winter cold.