What is an equivalent of the Ms SQL print function in DB2 SQL?
How can I output a message to the console in the run query tool?

What is your "run query tool"? This question is really difficult to answer in most cases because the rule is to communicate with DB2 from a client application. There, a print statement/function does not make much sense.

You can write data to an external file via user-defined functions. But that is probably not what you have in mind? Could you explain what exactly you need? Maybe there are other ways to achieve that.

Sorry about that, that is a bit silly indeed.
I am using iSeries navigator to connect to an AS 400 on z/OS
I would like a way to output messages to the console (like the MS SQL print function would do). At the moment I am writing to a log table but that is a bit inconvenient.

What is an "AS 400 on z/OS"? AS/400 (aka iSeries) is a different hardware architecture and runs OS/400, which has DB2 integrated into the operating system kernel. z/OS is the operating system for mainframes (aka zSeries). DB2 for z/OS, DB2 for AS/400, and DB2 LUW are separate products.

So what I don't understand is (a) on which platform you are working, and (b) where you want to write your messages to. Do you mean the (db2) shell? Or the operating system console as z/OS has one?