Here's why:
* The Magi were the three wise men who brought gifts to the baby Jesus. Their gifts were symbolic of their love and devotion.
* Della and Jim are similarly driven by their love for each other. They each sell their most prized possessions (Della her beautiful long hair and Jim his heirloom pocket watch) to buy gifts for each other.
* Their gifts, although seemingly impractical, are a testament to their love and willingness to sacrifice for each other. The gifts themselves (a comb for Della's now-shorn hair and a chain for Jim's watch) are now unusable because of their actions.
* This act of selflessness is the "gift" that O. Henry highlights. It shows that true love is not about material possessions, but about sacrifice and understanding.
The title is therefore a bit ironic, as the gifts are ultimately rendered useless. It serves to emphasize the true meaning of love and the spirit of selflessness that transcends material possessions.