From Thomas Jefferson Encyclopedia
According to James A. Bear, Jr., no reference has been found in Jefferson's or his family's papers to a private celebration of any of his eighty-three birthdays. Neither were public levees or galas held during his lifetime to mark the day. Jefferson himself seems to have actively discouraged public observances of his birthday:
1801. "On Mr. Jefferson's accession to the Presidency the mayor and corporation had waited on him, requesting to be informed, which was his birthday, as they wished to celebrate it with proper respect. 'The only birthday I ever commemorate,' replied he, 'is that of our Independence, the Fourth of July.'" 
30 August 1803. "...disapproving myself of transferring the honors and veneration for the great birthday of our republic to any individual, or of dividing them with individuals, I have declined letting my own birthday be known, and have engaged my family not to communicate it. This has been the uniform answer to every application of the kind." - Thomas Jefferson to Levi Lincoln
The first public celebration of Jefferson's birthday was held on 13 April 1830, at the Indian Queen Tavern in Washington, with Virginia congressman John Roane presiding over the more than 150 attendees.