The Watchtower says that Jesus commanded only one celebration, - the memorial of his death. Luke 22:19,20 
They say that the Apostle Paul was concerned that Jewish Christians were still concerned about observing Jewish celebrations and clinging to religious tradition rather that the new spirit of Christianity. Gal 4:10,11 
The Watchtower says, 'On the contrary, the idea of a single day of thanks undoubtedly would have reminded the early Christians of the pagan Romans, who held an annual thanksgiving celebration in December. A writer of the second century noted: “We [Christians] are accused of a lower sacrilege, because we do not celebrate along with you the holidays of the Cæsars in a manner forbidden alike by modesty, decency, and purity.” ' 
The Watchtower goes on to say, 'Naturally, many dedicated Christians will not be working secularly on that day. Some may choose to take advantage of this opportunity to enjoy fellowship with family and friends. Yet, what “spirit” will a Christian manifest? It is true that God created turkeys and other foods, so these are not in themselves objectionable. But undoubtedly one who is a true Christian will want to be careful not to stumble others. 
So the Watchtower does not approve of Thanksgiving Day. The summarize by saying, 'So on November 25, the declared “day of thanks” in 1976, personal decisions need to be made. Dedicated Christians certainly will not want to convey to others the idea that they believe in one-day-a-year gratitude. Really, should not all who profess Christianity encourage a spontaneous spirit of thanksgiving—from the heart—the year around?' 
1. Watchtower Society, Nov 22, 1976, Article: 'A National “Day of Thanks”—The Dream and the Reality'