The Romans had so many gods they didn't need Jesus.
It wasn't just the Jews that missed Christmas, the entire Roman Empire also missed Christmas even though they God used them to bring about the circumstances that the prophets told us would be a part of Jesus birthday. Caesar Augustus ordered the census that took Mary and Joseph to the prophesied birth place of Jesus.
Caesar Augustus is mentioned in the Bible as a part of the Christmas story. He ruled the Roman Empire from 27 BC to 14 AD. His first name was Octavianus. He was the nephew of Julius Caesar and he came to power after Julius Caesar was assassinated.
Roman soldiers were probably all over the place trying to deal with crowd control and overseeing the census. They tried to be in charge and all knowing but there is something about one of the babies that they counted in Bethlehem that they don't know about.
Rome missed Christmas because of their idolatry. They had their own gods and they were even willing to let their emperor pretend to be God. Wikipedia reports that: "The Romans thought of themselves as highly religious, and attributed their success as a world power to their collective piety in maintaining good relations with the gods." (Wikipedia, "Religion In Ancient Rome")
You don't have to go to a distant land where they never heard of Christ to find paganism and idolatry. You can find plenty of idolatry right here close to home. Most people around these parts don’t worship carved idols or follow demonic superstition like the Romans did, but they nevertheless worship false gods.
Some people worship money. Others worship sex. I know people who worship cars, boats, houses, power, prestige, popularity, and fame. Those things represent the pagan gods of the 21st century: selfishness and materialism. If that is what you worship, you’ll miss Christmas.
The Christmas season itself is full of idols that replace the real reason for the season. From Frosty, to Santa and Rudolph, there are plenty of fictional characters to distract us from the real personality of Christmas. Decorated trees and houses covered with lights are a lot of fun but if all of the fun stuff at Christmas takes the place of the baby Jesus in your heart then there is a problem.
Nobody wants to stop the celebration of Christmas with all of it's fun and the boost in economic spending but what the world wants to do is take the attention off of the baby. It's the same thing that the world does all of the time, it's okay to mention worlds like God, faith and prayer, just don't mention Jesus! It really is important to keep your focus as you celebrate the reason for the season.
Forgive me Lord for allowing other stuff to creep in and become more important than you on your birthday. I want to celebrate your birthday with my focus on you and your reason for coming to earth.