I had my 18 month old do this for a few days but I stood outside the door and waited and when she climbed out I put her right back in and said "NO" "DANGER" she cried but I had to do it a few times in a row for 3 days until she stopped. I'm not worried as the play pen room is baby proofed and the door handle has a child lock device on it so she won't be able to open the door. You may have to camp out outside the door for a few days but just let them know that they can't climb out!

Good luck!