I am going to regret this. Christmas I understand but what's wrong with Thanksgiving?
He wasn't completely serious, but also most frum people don't celebrate Thanksgiving with a big family feast (god knows we finally made it through Yom Tov season, and with chanuka on the horizon!) - it's more of an off day akin to July 4 i.e. some families celebrate, some don't because of life responsibilities.
(There's a famous tongue in cheek saying from a rabbi of yesteryear, "we don't need one day for Thanksgiving, we should be giving thanks everyday!".)