The AntsCanada Ant Forum's

I was wandering if I could catch Christmas beetles (tons of them) and create my own feeders by breeding them

Their larvae are soil-dwelling root-feeders, so they would be difficult or impossible to culture in large numbers, in captivity.

True
but the beetle as a feeder?

Feeding wild insects to your ants is unwise, since we don't know what the food has been exposed to. Many insects are resistant to chemicals and pesticides, so built up toxins can make their bodies poisonous to ants.