Our New Year's Day is January 1st now, but in ancient Japan New Year's Day was Risshun day, and it was usually February 4th. We changed from the lunar calendar to the solar calendar a long long time ago.
In short, Setsubun is February 3rd and it is New Year's Eve. For Japanese people, New Year's Day and Eve are very important, like Christmas Day in western countries.
On Setsubun we perform the bean tossing ceremony to celebrate the coming of spring. We exorcise "devils" which symbolized evil and unhappiness. We do this by tossing dried beans while chanting "Oni wa soto ! Fuku wa uchi !" It means "Out with the devils! In with good fortune!" Ancient Japanese people believed beans have the power to banish evil spirits, so it is our custom to say this.
People say this bean tossing ceremony is over a thousand years old. After the bean tossing ceremony, we eat as many beans as the same number of our age to bring us good health. It is good fun for children.
In summary, Setsubun is our ancient New Year's Eve in Japan, and banishing the devil in the bean tossing ceremony , and also praying for the coming New Year makes us happy.
When I was a child, I could hear loud voices crying "Oni wa soto ! Fuku wa uchi !" everywhere around in my house on Setsubun. Of course, I tossed beans too. However these days I feel that we cannot hear such cheerful voices. Originally, we had to toss beans with family, but we can see it done at famous temples or shrines.