var list = (from message in db.BLOGS_MESSAGES
            where message.BLOG_ID == blogId
            orderby message.CREATED_DATE descending
            select new BlogMessage()
            {
                   AUTHORS = **(from author in message.AUTHORS
                                select author.USERS).ToArray()**,
                   CREATED_BY = message.CREATED_BY,
                   CREATED_DATE = message.CREATED_DATE,
                   BLOG_MESSAGE_ID = message.POST_ID,
                   MESSAGE_TITLE = message.TITLES.TITLE,
                   TAGS = **(from tag in message.TAGGED_MESSAGES
                             select tag.TAGS).ToArray()**,
                   LOGIN = message.USERS.LOGIN,
                   MESSAGE = message.MESSAGES.MESSAGE,
                   MESSAGE_ID = message.MESSAGE_ID,
                   POST_NOTE = message.POST_NOTES.Sum(x => (long?)x.NOTE) ?? 0 / message.POST_NOTES.Count(),
            }).ToList();

var mlist = (from message in db.BLOGS_MESSAGES
             where ....
             orderby ....
             select new {
                AUTHORS = (from author in message.AUTHORS
                                       select author.USERS),
                ....
             }

List<BlogMessage> list = new List<BlogMessage>();
foreach(var item in mlist)
{
     list.Add(new BlogMessage()
     {
          AUTHORS = item.AUTHORS.ToArray(),
            ...
     });
}

var step1 = db.BLOGS_MESSAGES
              .Where(...)
              .Select(message => new {
                  Authors = message.AUTHORS.Select(a => a.USERS), // No .ToArray()
                  ...
              }).ToList();

var step2 = step1.Select(message => New BlogMessage {
                Authors = message.Authors.ToArray(),
                ...
            }).ToList();