I'm not sure who coined that phrase -- maybe Stephen King? I heard it from my multi-talented friend, Lynn Somerville, who blogs with her amazing daughter KT over at Scary Mondays. (They have an anthology by the same title on Kindle. It's well worth the read.)
Closing the door has to do with protecting your work while it's still in the creative stages. The theory is you start writing Chapter 1, you do it more or less in private. You don't trot out your still-forming baby for inspection by anybody -- not your agent, not your spouse, not your editor, not your biggest fan. It's just you and your computer and that story you're wrestling into shape.
Granted, there are as many ways to write as there are writers and each of us has to find the right way for us, but I think a lot of people could benefit from a closed door. Sure, a new writer has to find out whether she's on the right track, if the story's staying clean and not getting its nose snotty, if its style is cool or out of date or just plain boring.
But there's one important thing to learn before you start showing it around asking for compliments and critiques: you've got to know what's good for you and your book. You have to be able to look at the comments and say, "Oh, yeah, this one will strengthen the book," and "Interesting idea, but it doesn't belong in this story." (Or, more often than you want, "Thank you, but that sucks pond water.")
You have to protect your story, your voice, your vision of what you're creating. It's yours. It's coming out of your passion and courage and that gnawing need to get it out of your head and hopefully into someone else's. Don't give anyone, however well-intentioned, the chance to sidetrack or derail you completely until you're at the point as a writer that you can stand up for your creation.