Jehovah's Witnesses only formally celebrate the one event that Jesus commanded his followers. The memorial of his death (1 Cor. 11:23-26). They also celebrate other events which are referred to favorably in the Scriptures such as marriages, anniversaries, the birth of a baby, graduations and many other happy occasions.
But why don't Jehovah's Witnesses celebrate St. Valentine's Day? Jehovah's Witnesses take their worship very seriously and insist upon keeping their worship of God undefiled (James 1:27). Therefore, the main reason why Jehovah's Witnesses do not celebrate St. Valentine's Day is because pagan ceremonies honoring pagan gods are mixed in with St. Valentine's Day's origins.
St. Valentine's Day - It's Pagan Associations
Notice what the publication How It Started had to say about St. Valentine's Day on pages 46-47:
"Ancient Romans placed great stress upon holidays that fell about the middle of the shortest month of the year. Dedicated to the goddess Juno, who was the wife of Jupiter, these festivals stressed love, courtship, and marriage.
"That was appropriate since Juno, queen of heaven, was regarded as the special protector of women in `critical times of life.'....
"When Christianity became the official religion of the Roman Empire by edict of Emperor Constantine, religious leaders immediately started trying to do away with pagan festivals. Many of them had been observed for so many centuries that they resisted all frontal attacks, so there were many efforts to bring about change in a more subtle fashion. One of the most effective was a substitution of a Christian [?] observance for a pagan one, with special ceremonies held on or near the date of the long-established holiday.
"Since the martyrdom of St. Valentine was celebrated on February 14, it made sense to stress homage to the man who was said to have been stoned to death on that day in A. D. 269. For that reason the name of a man about whom no written records exist came to be attached to the day formerly dedicated to Juno."
And The World Book Encyclopedia, Vol. 20, 1973 ed. on page 204 says this:
"Valentine's Day comes on the feast of two different Christian martyrs named Valentine. But the customs connected with the day ... probably came from an ancient Roman festival called Lupercalia which took place every February 15. The festival honored Juno, the Roman goddess of women and marriage, and Pan, the god of nature."
Should True Christians Celebrate St. Valentine's Day?
Some would say that it's wrong to pay such homage to dead men, whether "Saints" or not, but the Bible shows that it's incredibly wrong to mix in pagan ceremonies honoring pagan gods in the process. It would be wrong to incorporate anything used for pagan worship, into our worship or related activities. (2 Corinthians 6:14-18) Holidays, for example, are "Holy Days" and are a part of "worship", by their very name.
Because Valentine's Day is rooted in pagan rituals, it is therefore not celebrated by true Christians. Year-round expressions of genuine love are much more rewarding than the passing fancies of a sentimental holiday.
What is the origin of Valentine’s Day? (rs p. 176-p. 182; Watchtower Online Library)
A New Name for an Old Orgy (Feb. 8, 1995 Awake! p.27, 28)
Pagan Customs - Why Do Jehovah's Witnesses Avoid Them? (Defend Jehovah's Witnesses)