A method of making catheters is disclosed in which the wall of the catheter has a porous structure for carrying additional agents, such as therapeutic or diagnostic agents. The method includes providing a core, applying a base polymer material and an inert material over the outer surface of the core, and consolidating the base polymer material to form a catheter having a porous polymer layer with the inert material contained within the pores thereof. The inert material can be applied with the base polymer material, or it can be applied in a separate step after the base polymer material has been partially consolidated to form the porous polymer layer. Additional agents can be mixed with the inert material before it is applied to the catheter, or such agents can be applied to the porous polymer layer of the catheter in a separate step after the inert material is removed therefrom.