I have no idea why they are telling you that. The only think I can think of is they are trying to make you feel bad and aren’t very nice. Or, I guess it is possible they are just ignorant and don’t have any mal intentions.
You can celebrate whatever part of your heritage you want as others have said, and in America we celebrate each others holidays, we even sort of make up and put our own twist on holidays. Mexicans don’t even celebrate Cinco de Mayo in Mexico (and my MiL is from Puebla where the actual battle that Cinco de Mayo was faught, I think the state of Puebla does have schools closed that day, maybe also people take the day off from work). Many Americans think it is like July 4th, Independence Day, and it isn’t.