Any time you heat or cool a material, you apply internal stresses to it. This is because it's virtually impossible to evenly heat the entire volume of the material. Because every material expands or contracts during a temperature change, if the heating rate is uneven, some portions of the material will expand or contract faster than others. If the rate of heating is slow enough, the diffusion of heat will ensure that these forces are minimized... but they will always be there. Every time you stress the material, it becomes weaker. This is known generally as fatigue. Eventually you will reach a failure point and the material will fracture.
So, yes, simply heating a material could cause it to break, if it has already been subjected to many heating/cooling cycles. Pyrex is more resistant but no material is perfect. Go through enough stress cycles and microscopic fractures will occur at stress concentrators on the surface or at grain boundaries. From there it's only a matter of (usually short) time.