Depends how small your cordyline is and how big your greenhouse is!
But, yes, safer in there because it'll protect it from the ravages of winter. It'll stop it getting water in the crown of the plant which might freeze and cause damage, ending up with the plant rotting to the core and dying.
It'll also save a question next year about why yet another cordyline has died!

I keep my 5' red standard type cordyline in the greenhouse each winter and so that it doesn't take up too much room (or poke me in the eye!) I loosely tie the leaves up. Just make sure the leaves and centre of the plant are dry before you tie it.

In a cold gh if the weather gets really cold you could still lose it,( I did) insulation may help and ventilate on good days

Is it too big or could you tie up the leaves as suggested and cover it with sacking or something. We lost one growing outside last year but it has regenerated from the bottom of the trunk.