I don't think you can say anything at all about a gift already given. They're entitled to give you anything they like, conversely you have the right to not be happy about it 
But for next year you could try a note along the lines of "I appreciate donations given to charity, and if anyone would like to give me this as a Christmas gift please consider x, y and z, that are close to my heart" or add some other less flowery explanation.
That way when they ignore it they're being plain obstinate...
Winter riding is much less about badassery and much more about bundle-uppery. - malkin
1995 Kona Cinder Cone commuterFrankenbike/Selle Italia SLR Lady Gel Flow
2008 white Nakamura Summit Custom mtb/Terry Falcon X
2000 Schwinn Fastback Comp road bike/Specialized Jett