What about putting a gate around the door that has a safety latched section like the ones that go around a fireplace. Then any adult can go in and out the door and through the gate into the play area but the children can't go out - at least in theory. I agree that teaching him no is the best but there is always going to be the risk of him trying to escape especially if it becomes something he does when he doesn't get his own way. The idea of making it safe in the room for everyone seems like a better idea because it also means you can give the other children the attention they need without only have paying attention because part of you has to be constantly on the one child.