When I was a single person, I loved the whole gift exchange deal. I still like to be able to pick out presents for my friends, but my daughter really takes up most of the time and money for it these days. And I really don't expect a present from her in return.
A big part of it is this: Mostly, when I want something, I can get it for myself. Mostly, kids end up with what someone thinks they should have. At Christmas, kids get a chance to ask for specific things they want, and have a good chance of getting them. So it's a big deal for kids, but not as much of one for adults.
I think, your parents would be very touched if you gave them something, especially something you made yourself or even a "gift" of a chore (like cleaning the garage or making a meal). But their real joy is in seeing you happy, so they really do mean it when they say you don't need to give them anything.