Speaking as an acclaimed liar, actually maintaining your deceptions can get pretty damn tiring, especially around a tiny person who relies on you for all their information, never goes away, and never stops with the questioning. It's just less tiresome, it's just easier to tell your kids the truth, and that's what I would do.
Thing is, I'm also a smartass and love showing off, so I wouldn't just say "there's no Santa, all your friends are dumb" and leave it at that; I'd present the history, the mythology, and discuss WHY their classmates choose en masse to believe in him. When raising a kid, the why and how behind your actions are far more important than the actions themselves. If you trust your kid enough to talk to them like an adult, they'll not only respect you more, they'll grow up to be more mindful and curious.
Also because then, if I'm poor during the holidays, I can just come out and say that, rather than having to explain why Santa didn't get them an Xbox 360 even after they covered ten sheets of paper with pleading and mailed ten copies of it to the North Pole, just in case.