All concerned with the information gleaned from the intercepted German signals were conscious that German suspicions must not be aroused for the sake of ephemeral advantages. In the case of the Coventry raid no dilemma arose, for until the German directional beam was turned on the doomed city nobody knew where the great raid would be. Certainly the Prime Minister did not. The German signals referred to a major operation with the code name "Moonlight Sonata." The usual "Boniface" secrecy in the Private Office had been lifted on this occasion and during the afternoon before the raid I wrote in my diary (kept under lock and key at 10 Downing Street), "It is obviously some major air operation, but its exact destination the Air Ministry find it difficult to determine."

- John Colville, one of Churchill's private secretaries

http://www.winstonchurchill.org/learn/myths/myths/he-let-coventry-burn

The Luftwaffe planned to attack on the next full moon – November 14th. British Intelligence knew a raid was planned to take place – but did not know where. The assumption was that London would be the target.

http://www.historylearningsite.co.uk/bombing_Coventry_1940.htm

The myth is that he did so, not to give the Germans a general false sense of security, but to conceal the source of the information - the Enigma interceptions and decryptions. Were he to take extra steps to defend or evacuate Coventry, so the story goes, the Germans would have known there was no other way that the British could have been forewarned other than via codebreaking, and have replaced Enigma with something else, setting back the Allied communications interception efforts substantially.