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Sequels were planned but depended on the first movie meeting certain financial expectations. Although it doubled its budget obviously it wasnt good enough. Also it came in for a lot of criticism from the Catholic church and that may have scared the makers off continuing the series.
Worth Wiki-ing it for the answer. Basically didn't do enough bucks to warrant follow-ups but hints given that New Line were scared off by Catholic Church stampy footy!
If the Catholic Chruch hated this one they would have been horrified by the last book Amber Spyglass (Spoiler Alert) and the fate of God.
I cannot stress too highly how superb the three novels are and any film maker worth his salt (how about it my namesake and doppelgänger?) should pick up the rights and make low budget sequels.
I know all about low budgets. I'd do it myself if it didn't involve working with children.
Yes, they are fabulous, mind-boggling books. I'm afraid the Golden Compass film just wasn't quite good enough (though not awful) and, like you, The Subtle Knife is my favourite.