You could also tell them that Santa Claus is a modern version of St Nicholas, who as a Bishop was imbued with the Holy Spirit, and that those acting in the personna of Santa today are carrying forth that same Spirit.
(Hey - it worked for my kids - right after they found out that the “Santa” they saw every year at the American Legion, the Fire Station, the VA Hospital and several other venues was *me*.)
LOL. That's a wonderful suggestion. I've been meaning to tie it all into the story of St. Nicholas, but I never went into the story in depth. I'll have to do that this year.