* Weekly jobless claims fall to 249,000 vs. est. 257,000
* Wal-Mart drops after issuing flat profit forecast for next year
* Tesla falls after Goldman Sachs downgrade
* Futures down: Dow 33 pts, S&P 4.25 pts, Nasdaq 8.5 pts (Adds details, comments, updates prices)
By Yashaswini Swamynathan
Oct 6 (Reuters) - Wall Street was set to open slightly lower on Thursday as strong economic data and comments from Federal Reserve officials suggested monetary policy could be tightened by the end of the year.
A report showed the number of Americans filing for unemployment benefits unexpectedly fell last week to a near 43-year low, indicating firmness in the labor market.
The data comes ahead of a crucial monthly jobs report that will help determine the path of interest rates.
A growing number of Fed officials have argued for higher rates as the labor market remains robust and inflation inches towards the central bank's 2 percent target.
Richmond Fed President Jeffrey Lacker on Wednesday said a strong employment report would bolster the case of a hike sooner than later.
"Good economic news will be bad news for the markets," said Phil Davis, managing partner at PSW Investments in PSW Investments in Woodland Park, New Jersey.
The Fed is most likely to pull the trigger on rates in December as its November meeting falls days ahead of the U.S. presidential election.
Traders have priced in a 15.5 percent chance of a change in rates next month, while the odds jump to 60 percent for December, according to the CME Group's FedWatch tool.
Wall Street rose on Wednesday, driven by financial and energy stocks.
Dow e-minis were down 33 points, or 0.18 percent at 8:32 a.m. ET (1232 GMT), with 20,051 contracts changing hands.
S&P 500 e-minis were down 4.25 points, or 0.2 percent, with 130,365 contracts traded.
Nasdaq 100 e-minis were down 8.5 points, or 0.17 percent, on volume of 18,769 contracts.
Wal-Mart fell 2.12 percent to $70.15 in premarket trading after the world's largest retailer forecast flat earnings for next year.
Twitter shares plunged 16.6 percent to $20.67 in heavy premarket trading after technology news website Recode said Disney and Alphabet were not in the race for the company.
Alnylam dropped 43.8 percent after it abandoned testing its experimental drug for heart failure as trial data showed patients who took the treatment were more likely to die than those who got a placebo.
Tesla fell 2.72 percent to $202.80 after Goldman Sachs downgraded its stock to "neutral" from "buy". (Reporting by Yashaswini Swamynathan in Bengaluru; Editing by Anil D'Silva)