Yes, the realy can click and still be bad. What you do know is that the switch and power to the coil side of the relay is good. Now you need to check to see if the switch side of the relay is good. Jump B+ and B- to the coil terminals of the relay and then check the other two leads with an ohmeter. You should have a closed circuit. If this is good, then check for power at the horn. If so, horn is bad; if not, wires are bad. You could do this step first, but no power does not prove a bad relay, as it could also be the wires.