I'm not going to give back concert tickets that were a christmas present
Why would you be expected to return a Christmas present?
I want to go to the concert and they were a gift.
It's understandable to want to keep a gift. Instead try taking to the person who wants them back and explain to them about how you feel its unfair for them to want the gift back.
They should already know I want to go.
You are correct, the person should know that you want to go, which is likely why they purchased the tickets for you. You should talk to the person and find out why they would even want you to return the tickets.