Depends on the context, like what world it is and where the room is located, and so on.

I suppose it's in a building that people have access to except for that one room, and that it's a world where, while not particularly sophisticated, explosives exist, so it should at least have very strong walls. If magic exists you might want to avoid using it for this purpose as it often becomes a "because" kind of explaination, but you can use it as a tool (e.g. an obstacle that can only be overcome with powerful magic, and the magicians who are capable of such power can be counted on one hand).

If magic is a no-go, maybe it simply requires a specific kind of key to open (but maybe it's too high tech for your world?)