You cannot. There is no option to turn it off with Facebook UI.

Workarounds

Theoretically, you could kill all internet connections on clicking the message icon and prevent Facebook from using an event listener to check when you opened the message.

Going by this assumption, I'm saying that the read receipt shouldn't fire until you actually open a message as you are not able to read all of it. Still going on assumption, if Facebook preloads the message before sending a receipt and before you kill the data you should be able to inspect it. Then you would have to look into the timing of the message.

Another way would be if you do not have a window open with Facebook allow the notification to go to your email and reply from there.

A third way would be to access your data via the API using the Graph API explorer http://developers.facebook.com/tools/explorer/?method=GET&path=me%2Finbox which would honestly be a pain.

All in all it would just be easier to open the message and let the read receipt send. BlackBerry users (such as myself) have had to deal with this for years :S