"Beetles" is really three stories wearing one name
The honest answer to where beetles go in winter depends entirely on which beetle prompted the question. If it's the orange, spotted insect clustering at a sunny window, the answer is: it's already inside your house, and has been since fall. If it's a small beetle near a wool sweater or a bag of flour, the answer is: it never left, because it lives there year-round. If it's a beetle you haven't seen at all, the classic assumption is correct — it's genuinely dormant outdoors.
A single flat answer flattens three very different situations into one, which is exactly the kind of vague "they hibernate" response that leaves a searcher no better informed than before.

