Because the story is about good vs evil, and Hellboy is on the side of good, they felt it was okay to let the film crew inside their doors.
The church officials, for their part, have released their own statement on the matter and the reasons behind their decision.
Per BBC News, church officials were aware that allowing the reboot to film would be controversial, but gave permission after learning more about the character of Hellboy.
It should be noted that the church was paid to be used as a location, but that amount has not been disclosed.