I get this question just about every year, and I know that some Christians do not understand it either. So, here is a simple, concise explanation.
We rejoice at the birth of our Lord. We think of it often, but do not set aside a special day of remembrance because Jesus did not tell us to.
Jesus did establish a memorial for His death, as recorded in Matthew 26, and we remember His death each first day of the week, following the example of the Christians in the first century (cf. Acts 2:42; Acts 20:7; 1 Corinthians 11:17-34).
But to do something that has not been explicitly authorized by God is to presume to know His will when He has not revealed it to us. No one can rightfully do so. “…Even so no one knows the things of God except the Spirit of God” (1 Corinthians 11:2). In fact, we are told, “And whatever you do in word or deed, do all in the name of the Lord Jesus, giving thanks to God the Father through Him” (Colossians 3:17).
So, to be clear, we do not in any way object to the birth of Jesus. It was a wonderful event, bringing joy to mankind (cf. Luke 2:13-14). However, we respect the mind of our God, and as a church (congregation) we refuse to speak or authorize a practice that He has not spoken on.
Christmas is a religious holiday started by men. It is not found in scripture. So, we pass.
