Many historians think Jesus was not actually born in the winter since the emperor, Herod, would have realized people who lived in northern parts of the Roman Empire couldn't possibly travel at that time of year because of the severe weather. But many cultures have celebrations when the season of winter begins and days begin to lengthen. The Romans, who persecuted and killed Christians, were no exception. Legend says in order to avoid standing out by not partying, the Christians chose to celebrate the coming of Christ at that time.
Whatever people choose to celebrate, it's easy to see why they do it now.