I find this whole Santa thing really really bizarre. People invest such a lot of energy and get so incredibly passionate about it! It's clearly not just a 'bit of fun' at all.
I was brought up without the Santa myth and had wonderful Christmases and a great childhood with plenty of imagination and magical stuff too, but it was my own personal imagination, and my own personal magic, not something manufactured by advertising agencies, my companies or my parents. I've never felt I lost out, nor have I found that my friends wax lyrical with their Santa related memories thus making me feel sad and left out.
I never really considered doing Santa, and would have felt extremely uncomfortable making up some great fantasy (my children are very inquisitive, "it's magic would never have washed with them), not just for a day or two but for years. They are 10 and 11 now and have friends with families who go to great lengths to keep it real (letter writing, food for reindeer, tracking Santa in the evening etc etc) and I can't help but think this is for the parents enjoyment more than for the children, but if that's what Christmas is about for them then fair enough, I'm just not going to follow along because I really don't like many aspects of the Santa myth.
I can't remember when I had the first conversation with my two about Santa, but probably quite early, as it is rammed down their throats rather (TV, nursery, school, random grannies etc). I said something fairly similar to the OP, along the lines of 'it's a story that some families enjoy, but not something that we do' and if they asked about presents of course I wouldn't say that some children get presents from Santa but you don't because that would be really really odd, totally untrue and potentially upsetting.
I've always made it clear to them that just like religious belief it is something that is important to other people and they should respect that, but it's really not for me to police other people's made up fantasies. Or for other people to push them on my children either for that matter. Christmas is a great time of year when many myth systems come together (to me Yule and the nativity are the important ones, although I am neither a pagan nor a Christian) and it can be celebrated in many joyful and imaginative ways.