Is my reed relay defective?
If you attempted to switch a large-ish current (more than 500mA in this case, or a capacitive load that causes a surge that exceeds 500mA) then you may have damaged (welded) the contacts. 

It's possible that you can tap the relay and the contacts will open, but you will have permanently damaged the precious metal plating on the contacts. 

Reed relays are really most useful only for switching low currents. 

Note that there is a variation of the relay 900x-xx-02 which has a bias magnet to hold it closed, but that is not the part number you state. The version you have incorporates a series diode+zener so you should observe the correct polarity as given in the datasheet.