As opposed to the other holidays and festivals which were already existent since Hashem gave the Torah to the Jewish nation, the holidays of Purim and Chanukah were brought about through two wicked men, Haman and Antiochus.
Maran Rabbeinu Ovadia Yosef zt”l writes that Purim and Chanukah have resulted in tremendous things for the Jewish nation, for on Purim, the Jewish nation reaffirmed their commitment to the oral Torah lovingly. On Chanukah, the Jewish nation’s faith in the oral Torah was strengthened, for they saw that Heaven agreed with the rulings of the Sages of the Talmud. Indeed, according to Torah law, non-Jews cannot defile oil; however, our Sages decreed that a non-Jew would share the status of a Jew who has become impure who defiles oil immediately upon touching it. Thus, all of the impurity related to the oils in the Bet Hamikdash was only the result of a rabbinic injunction and Hashem nevertheless performed a great miracle that the small amount of oil that was found in that one small container lasted for eight days. The entire Jewish nation therefore witnessed how Hashem agrees with the words of our Sages.
Based on this, Maran zt”l adds that it is thus understandable why the Sages did not establish that we hold festive meals during Chanukah, for the holiday of Chanukah represents the oral Torah whose length and breadth are vast and can only be acquired through limiting one’s eating and drinking. On the contrary, one who chases after luxuries will soon forget the laws of the Torah. Only one who studies Torah amid much toil and does not even pay attention to one’s lack of materialistic pleasures will merit the crown of Torah.
Another possible reason to explain the above is because the great miracle of Purim was amplified by the fact that not even one Jew was killed and it was therefore appropriate to establish great merriment and feasting. Regarding Chanukah, however, before the incredible miracle occurred, unfortunately many holy Jews perished and this caused the Jewish nation great distress. Our Sages therefore did not establish feasting and merriment during these days.
We must pay attention that all of the miracles Hashem performed for us in those days were the result of His tremendous love for us. Those miracles teach us a lesson about all of the miracles Hashem does for us, both the revealed ones and the hidden ones. Even nowadays we witness great miracles with our own eyes and we must pay attention to them, for Hashem does this because He loves us and is waiting to see the Jewish nation returning to him.