It needs to be reported. You will be doing all parties involved a big favor although it certainly will not be seen that way at first.
There is truth in the statement that they will drink somewhere but by condoning the practice, the neighbors are teaching the underage drinkers that laws do not matter. Will they be able to stop one of their guests from getting in a car and driving off? What if some sort of incident occurs at the neighbors' house? Are the neighbors just letting them drink or is there some other unacceptable behavior occurring? Are the neighbors thinking about the liability issues they could face?
If you turn a blind eye, depending on where you live, you could be in trouble as well if it was determined that you knew and did not report it especially if these are young people that are under the age of 18.
Do what is right and report it. Maybe you can do so anonymously.