They probably already have figured it out...however...because I believe in the spirit of the season...I think you should keep up the game, and not tell them the truth about this one.
If they ask, don't lie, just don't tell them the truth either. Be evasive. "Mom, is Santa Claus real?",,,"Well he left you toys, right? Oh, look at the time I need to call your aunt sue..."
There is no reason to just cut it off entirely. Even kids who have figured it out still enjoy it because of the mystery of it...the "what if he WAS real" factor.\
I don't think this type of lying falls under the category of bad parenting. I think this falls under the category of trying to keep the world wonderful and magical for your children..and we all need to do that as long as possible because it becomes all too real all too soon for all of us.