Umar ibn Al-Khattāb رضي الله عنه has warned:

 Stay away from the enemies of Allah during their festivals.

(Bukhari in his Tarikh 1804, Baihaqi in Sunan Kubra 18862)

In another narration he has added the reason:

Because the wrath of Allah descends on them, so I fear it will afflict you.

(Baihaqi in Shu’abul Iman 8940)

Abdullah ibn A’mr رضي الله عنه mentioned the consequences of joining in their festivities:

 

Whoever builds [a home] in the land of the foreigners [that is, the non-Muslims] and observes their Nairūz [Persian New Year] and Mahrajān [a Persian festival celebrated on the equinox] and imitates them till he dies in that state, he shall be resurrected with them.

(Baihaqi in Shu’abul Iman 8941)

Umar رضي الله عنه went to the extent of prohibiting trade with them on their days of festivity, he said:

Stay away from the areas where the Non-Muslims socialize (hang out). Beware of entering on them for trade on their days of festival, because the wrath of Allah descends on them.

(Baihaqi in Shu’abul Iman 8941)

This can be applied to all Non-Muslim festivals:
Christmas
Diwali
Hanukah
Carnival
Valentines
Halloween
Birthdays
Weddings
and the list goes on.
May Allah protect us from joining with them in sin and in Hell.