Interestingly enough, your question is really about where your building envelope ends. Let me step back and explain that.
The building envelope (http://resourcecenter.pnl.gov/cocoon/morf/ResourceCenter/article/114): made up of the walls, floors and roof of your home, is the plane where inside becomes outside. The envelope is an important concept in green building because the air inside your home is kept cozy and warm using energy. The energy your home uses is the biggest impact it has on the environment. Therefore a green building should have a tight envelope, separating the outside air, which might be too cold or too warm, from the inside air which is kept at a comfortable temperature. The indoor space is called conditioned space, because it is kept comfortable with air conditioning or heating. A leak proof interface between outdoors and the conditioned space inside a building is achieved by insulating and sealing leaks in the walls, doors and windows, floor and ceiling.
In an older building, which likely did not have insulation when it was built, there might be leaky areas in the building envelope. Your mudroom might well be an example of this. Certainly the the room the mudroom opens onto, usually the kitchen, is part of the conditioned space. The mudroom itself might not be insulated and might be difficult to keep warm. You might want to confirm this by peeking in the walls around any outlets or light switches that are there, to see if you can see insulation. You also probably have an idea whether your mudroom tends to be much colder than the rest of the house. Most likely the space is sort of a transitional space between the comfort of the home and the outside temperature. The windows and walls offer some insulation from the outside temperature, but it is not heated.
There are two reasons this matters. First, you might want to store things in your pantry that should be kept from freezing, high temps or humidity (http://www.clemson.edu/extension/hgic/food/food_safety/handling/hgic3525.html). If your mudroom is uninsulated or poorly insulated, then if it is freezing outdoors - it is freezing, or very close to it, in your pantry. This might not be good for your stored pantry items. Secondly, if you are opening and closing the door to the pantry more than previously, you are mixing your comfortable indoor air with whatever temperature air is in your new pantry. This will make your interior space less comfortable.
The best solution would be to make the mudroom part of the conditioned space inside of your envelope. This would mean you should weather proof your doors and windows, seal around outlets and light switches that are on outside walls, and insulate the walls and roof as much as you can. If you are doing the work yourself, I have found rockwool batts (http://www.roxul.com/residential/save+energy+with+comfortbatt) and recycled denim batts (http://www.bondedlogic.com/) to be green insulation options that are quite easy to work with for a non-expert DIY builder. Be meticulous in fitting the insulation into the wall or ceiling joist cavities. It really makes a difference.
You do not need to do this if your mudroom is already insulated, or if you live in a climate where the space would not be too hot, too cold or too humid for safe pantry storage.
Good luck with your project, older homes never seem to have enough storage! Do we really have so much more stuff now?