Absolutely! I have already told my four-year-old that there's no Santa flying in the sky with his raindeers.
In our case, it wasn't to protect him from bullies, but because he was worried and wondering about the details of Santa entering our home while we were sleeping. So, I decided he deserved to know the truth.
We're still working on building our own magic around Christmas, but it's a different kind of magic.
I believe we are responsible for and we should be the first ones our children trust with explaining the realities of life.