I thought the same thing (get the nest in the winter) and every nest that I saw was torn apart a few weeks after the first frost. It took 3 years to finally nail down the culprit(s).
I really wanted a nest to hang in the barn, and I finally got one by spraying it with Pounce a week or 2 before the first frost. That killed the nest in 1 day, but I let it hang for a week to make sure none of the eggs hatched.
The culprits? Chickadee's and Tufted Titmouse. They tore apart the nest looking for immature hornet grubs.