The doors you find in the dungeons all work differently.
1. Area Doors
Open when you complete the current area's Quest.
Once you go to the next area, you'll be unable to return.
2. Teleport Points
Move freely between the rooms these points connect.
3. Boss Area Doors
Like area doors, these will advance you to the area beyond, but this time a powerful boss is lying in wait on the other side.
4. Goal Doors
Open when you complete the Quest for the final area.
Pass through to finish the dungeon.