While it is a very generous thought your parents do not have to send the groom’s parents a thank you gift or note for hosting the rehearsal dinner. Besides the fact that it is traditionally the groom’s parents responsibility, your marriage is just as much a celebration for them as it is for your family so it’s only right that they take part in hosting some of the festivities -- assuming that it won’t be a financial hardship.
If your mom and dad want to be involved they can offer to help with the rehearsal dinner details such as assisting with the entertainment by offering to make a toast and helping set-up decorations.