It’s qualitatively the same as expecting a beggar to be thankful for your loose change.
I’m sure the boss will feel smugly magnanimous and generous by the gesture, and you’re expected to be obsequiously grateful (as demonstrated by the numerous responses here).
Frankly, I find the whole thing absurd, and indicative of the disparity in social power at play. Your bosses may be nice people, and the small firm you work at might well be a relatively amiable environment, but don’t degrade yourself with any excessive fawning.
Something like, “I appreciate your recognition for the tireless work I’ve done this year”, would be enough.
@Judi I wouldn’t be thanking you for a free day out to Disneyland. Are you trying to torture the people working for you?