No, they don't migrate. However, they must have food so they won't be found where there are no food sources.
Here in northern Michigan they aren't nearly as active during the winter as they are earlier in the fall. They don't hibernate, but in really cold weather they may "hole up" for a few days at a time, or come out very briefly during the day.
Your best bet to find them is when it warms up after a period of very cold weather, especially when it is also sunny. Also, midday is almost always the best time to hunt them (during the peak daytime temperature).
I know how you feel - I've also went back to an area that seemed so promising during deer season only to find it devoid of squirrels (more than once I might add)!