Some rudbeckias are annual, (Biennial really) some are perennial. It is hard to say which kind you have and if they will come back.

Biennial or annual ones can come back yearly because they can reseed if allowed to, and nothing is applied to interfere with the germination of those seeds.

But yes, cut any dead stems back now to within a few inches of the soil (or to any green growth if it exists). If they can come back it won't hurt them, and if they aren't going to come back you'll need to do it anyways.