A locked door can protect privacy while leaving the person outside uncertain about welcome.

Closing a door does two things at once and only one of them is intended. It gives the person inside the quiet they need, and it hands the person outside a question they cannot answer: may I knock, is this about me, have I done something. Both effects are real, and the one you meant does not cancel the one you did not. Privacy is legitimate, and its ambiguity is still worth managing.

If you need a closed door, say in advance what it means and when it opens. One sentence beforehand keeps the privacy without the cost of it falling on somebody else.