I live in a peaceful and student-friendly neighborhood. I rent a room in a ladies' dormitory. Still, I always keep my door locked, including my windows. For privacy, safety, and security reasons, I don't leave them open. Also, I don't want to hear noise coming from the hallway. Likewise, I don't want lights from outside, once I turn off mine.
I have my own fire extinguisher inside my room and the fire exit is just beside my room. The fire escape ladder is attached to my window. In case of fire, I have an alternative even if I keep my doors are closed. As to unwelcomed guests, I have my big scissors and knife.
Whether I'm sleeping or not, I keep it locked.
Do you sleep with your bedroom door closed/locked/open or partially open?