Show them the missing key
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The unwritten assumption about doors in an RPG is that they are meant to be opened.
As long as the players think that there is a hidden way to open that door, they will either try to find it, or come up with alternative solutions (usually involving pickaxes and/or explosives).

The solution: Show them that hidden way - and then show them why they can't open it right now.
There might be a helpful (or hostile) NPC telling them, a magic mouth in the door, notes hidden nearby, an inscription, a puzzle,... Anything that allows them to “solve“ the puzzle of that door, even if the solution does not result in an open door.

Thus you turn one RPG trope (“Find a way to open that door“) into another one (“Fetch the missing MacGuffin“), which has less of an expectation of immediacy and can easily be demonstrated to be currently out of their reach.

Example: The door has an obvious slot to place a certain amulet. It should be immediately clear that doing so will open the door. Inscriptions nearby show that amulet in possession of the queen of the frost giants.
This is usually understood to mean two things:
- This is a new quest, and not something to resolve right now.
- We are meant to open the door after dealing with the frost giants, thus whatever is behind it is probably at least as dangerous/challenging as those.