So says Philip Pullman: 
For me, there are two issues here.
Firstly I am surprised he said it about his own work when so much has been and can be read into HDM. The fact that he himself has taken part in public debates with religious figures such as former Archbishop of Canterbury Rowan Williams to discuss it makes this quote even more bizarre. Williams was the only public religious figure who got it – a criticism of using the spiritual realm to exert political influence to seize temporal power.
He made the comment as a response to a comment from Bill Donohue of Catholic League that HDM “promoted atheism” and deliberately “denigrates Christianity”. Pullman dismissed Donohue’s accusation as absolute rubbish and then made the above comment.
If he did not set out to create any message in the text that is one thing, but to state (as he appears to do) that he does not create messages (because that’s what sermons are for) – inadvertently or otherwise – just seems bizarre. And Pullman was reimagining Paradise Lost in HDM!
I can think of numerous works of fiction where there is some sort of message, whether the author intended it or not. True, we are primarily fiction writers who want to tell a story but sometimes our medium is real life and – for me at least – a method of venting some of my own frustrations and thoughts about the world. The Weight of Reason certainly was that.
Personally I do. Paradox war stacked messages on messages, using mythic themes, symbology, sub-text, dialogue, comedy, and a crowbar, but that was kind of the point. Any story that plays with religion and spirituality is going to have to have a message in order to feel authentic.
Actually I have characters who get a bit preachy from time to time, but its all part of telling their story and character progression, so hopefully that’s okay.