Well, it's on Shot of Love which is from Dylan's Christian period, I believe.
For a few years in the early '80s (1979-1983, I think) he wrote some albums of songs about faith in Jesus and what it meant to him to be a Christian. He eventually dropped his pursuit of Christianity and continued to make (some would say better) music.
I think it's a safe bet this song is a satirical look at the person who resents or rejects Jesus. The 'heart of stone' is reminiscent of passages from the Bible that describe non-believers as hard-hearted or having their hearts hardened.
Just my take...