They do. They just don’t do it all at once.
The leaves of deciduous plants (it’s not just trees that are divided into deciduous and evergreen varieties) are intended to last for one summer. They are all shed at once in the fall, and a new set grows the next spring.
By contrast, the leaves of evergreen plants are intended to last for two or more summers. These growth cycles are staggered, so that in any given fall, a plant might be shedding a quarter or a third of its leaves, while keeping the rest. Because the majority of the leaves stay alive and on the plant, the plant is “ever green”.
An evergreen is not the same as a conifer. “Coniferous” literally means “cone-bearing”. While some evergreen plants bear cones, others use different structures for dispersing their seeds.
Evergreens help bring life and color to long Wisconsin winters. Because they often have dense growth, birds use them as shelter against the cold. They also provide food and nesting sites, and are often low-maintenance, making them a great addition to a natural yard.