Is it ok that I don't close the door when I pray?
That seems fine to me. Why do you think you should close it?
It was just something I heard the other day.
It is good you are very faithful and trust in God, and you can worship him however you want respectfully. No one can tell your otherwise or interfere with your relationship with Him, because only the two of you know what's best.
Yeah. This is my religion and I can practice it how I want.
Exactly! As long as what you are doing isn't bothering anyone else, you are free to pray how you want. Whatever you find most comfortable and makes you happiest is what you should do when it comes to prayer.