Which, it would seem to me, is part of the intent of the author. While many hold that the book is an ironic indictment of the hypocritical immorality of the English aristocracy, I think it is more. The simple fact is that Oscar Wilde (the author) lived a lifestyle that, in many ways, matched that of his characters. I can see many people reading this book and actually agreeing with Lord Henry and his ideas -- because after all, it isn't he who pays for them.
The book does portray the possibility of repentence and forgiveness from God, but even this fails, in a most brutal and bloody way. It is as though the author is telling the reader, "Don't bother believing that stuff, it can't help you." The end result, of course, is an awful portrayal of final impenitence.
The twist is that the author of the story, Oscar Wilde (1854-1900), was himself a penitent "deathbed convert," holding a lifelong fascination with the Catholic Church in spite of his infamous reputation of being "Apostle of Aestheticism," personal decadence and a martyr for gay rights. For further details on one of most fascinating Catholic conversions, see Jeffrey A. Tucker's Oscar Wild: Roman Catholic (Cisis 19, no. 1 April 2001), and The Long Conversion of Oscar Wilde, by Anddrew McCracken, which contains further background on Dorian Grey:
And for an in-depth treatment of Oscar Wilde's life and thought, see The Unmasking of Oscar Wilde, a spiritual biography by Joseph Pierce. From the publisher:
Joseph Pierce is himself something of an expert on literary converts to the Catholic Faith and I highly recommend his books. See, among others, his excellent Wisdom & Innocence: A Life of G.K. Chesterton, Old Thunder: A Life of Hilaire Belloc and Literary Converts: Spiritual Inspiration in an Age of Unbelief (Ignatius, 2000).