You’re not too sensitive for wanting people to knock before they walk in.

Wanting a moment of warning before somebody walks in is an ordinary need, not evidence that you are delicate. Being called too sensitive is often just what happens when a request turns out to be inconvenient. The size of an ask has nothing to do with whether it is reasonable. A door is a small thing to agree about.

Ask once, calmly, as a practical request rather than a complaint. If it gets forgotten, remind them in the same tone, and extend the same courtesy to everybody else in the house.