My parents want to buy me new pillows but I keep telling them I don't need them and they won't listen to me.
Why don't you need new pillows?
My old pillows are fine, there's no need to replace them.
Communication is the key to a successful relationship, so sit down and talk to your parents about this so that they understand your view. Try to make your feelings known so that they don't keep asking about this.
They never listen to me, I keep telling them not to buy me things like this.
Try to remind your parents that they could use the money they're spending towards something else. It could go towards a nice meal together or some sort of trip. Explain to them that there are better options to spend their money on.