Santa Claus is what folklorists call a "fict" - a term invented by the famed Swedish folklorist Carl Wilhelm von Sydow (1878-1952). The term refers to a type of legends that adults tell to children to be believed, but which the adults do not believe. Other modern examples include the Easter bunny and the tooth fairy.

Legends are narratives that are generally told to be believed (distinct from folktales, which were told as fiction, strictly to entertain). Under the umbrella of "legend" are stories about a range of supernatural entities that were intended to be believed to exist - by children AND adults. In traditional European society, these included ghosts, saints and angels, but also the fairies (with a variety of local names) and various monstrous entities often specific to the location. In any society, there have been skeptics, but most of the supernatural beings were regarded to exist by people regardless of age.

The entities described in ficts are unique in the way adults "passed one off" on children, usually for a variety of motivations. One would obviously be concerned about a child approaching adulthood who still believed a fict, but there was no need in traditional society for "a process for breaking the bad news to children." In fact, the whole point of ficts are that they are either useful (the stork in avoiding talking about childbirth) or are entertaining for the adults, so traditionally, the "game" has been to perpetuate the fict as long as possible.

On the other hand, children have normally been very good about sorting this out for themselves. They are clever little creatures and they talk amongst one another. My older brother figured out Santa, and my parents could tell that was the case, so they told him not to tell me so the magic could be kept alive for another year or two. He immediately told me. Because that's what children do. Folklore diffuses because people talk. Children talk, and ficts are set aside through a natural process. No need to break the bad news to children!!!

An anecdote to provide an example from a historical setting. These aren't allowed an /r/AskHistorians because single points of information taken from personal experience are not sufficient evidence to prove a point. In this case, this is something I "gathered" to a certain extent as a folklorist, which is a different process from the historical method. More importantly, I am not using it to prove a point but rather to illustrate one:

When my mother (b. 1926) was about 7 or 8, in the early 1930s, she and her friends were beginning to question the existence of Santa Claus. The magic was beginning to fade. On Christmas Eve, they were having a family dinner at my mother's house. The dinner included my mothers elderly grandmother. As they ate, they heard the jingling of sleighbells, and then they heard someone come into the front door to the adjacent living room. My mother's grandmother dropped her fork and was clearly startled, as was my mother's mother. It was convincing because it was not an act. They were clearly not expecting this, and they began to get up to see what it was. My mother's father told them all to remain seated, that one should not disturb Santa at his work, and before too long, there was some more jingling of sleighbells, and the door shut.

My mother's father told them they could go into the living room and that Santa had apparently "hit them early" because he had so many houses to visit. The living room had presents that had suddenly appeared, and the whole thing was incredible convincing. (My grandfather was a fireman and had asked a couple of other firemen to help out by playing the role, all in a well-timed and choreographed presentation.)

The result of this incident was that my mother reported the "intelligence" of her experience to her peer group, and she said that the convincing performance - including the detail that she always stressed, namely, her grandmother dropping her fork - was sufficient to keep her a believer for another year or two. She also said that she felt that this evidence persuaded many in her peer group to continue believing for a while longer. And then belief in the fict dissipated, because that it what happens. Naturally.