In American English, or at least the variety I speak, we typically say we're grateful for things, not to them. During Thanksgiving dinner, for example, we'll all list what we're thankful for -- "I'm thankful for my family and friends." It'd be rad if Duolingo would change the English translations to match that, but then again maybe people say "I'm thankful to my friends" elsewhere.
As a US English speaker myself, I’d describe it rather as being thankful to people for things, e.g. “I’m thankful to my spouse for preparing this delicious dinner” — to (direct object) for (indirect object). With your Thanksgiving declaration, I think that you’re eliding that you’re thankful for the presence of your family and friends in your life.