not really no. To be effective as an insulator airspaces have to be small. large airspaces, such as that contained by an intact wine bottle, are subject to loss of heat through convection currents forming inside the airspace and dissipating the energy.
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I've been to glass houses made of all glass bottles mortared together as structural elements - they were just fine. As Burf says you need to seal between the bottles - they are plenty strong enough to hold themselves up. Glass is a fairly good conductor of heat in solid form. The airspace inside the bottle would be a great insulator - thus they sort of cancel each other out and act as 'somewhat good' insulator rather than good insulator.
I would say they might offer a moderate insulating benefit, but not much. Air in voids allow convection currents and the spaces between the bottles would need to be filled. I would use a loose-fill insulation such as vermiculite to fill the space between the walls rather than the bottles, its cheap, very effective, fire resistant, non-toxic and easy to use.