My natural way of handling this is to say, "Ok, there's one door, but the path keeps going. Let's see how far this goes and then come back to this door later."
Yup. I do the exact same thing. When it comes to exploring areas I always have the following rules to make sure I don't miss anything.
1 - Explore every wall and corner of the area you're in before going through any doors or ascending/descending any stairs.
2 - In the first instance, always explore areas by moving anticlockwise, left to right, and bottom to top.
3 - If you are in a position to complete a sidequest, collect an item, or defeat a boss then do so before moving on and exploring other areas. Being in a position to do something is usually the game's way of telling you to do it.
4 - Speak to everyone. Try to memorise faces, names, items, myths, legends, prophecies and places regardless of how banal they may appear to be.
5 - If you reach a seeming dead end, experiment with every single item or piece of equipment that you have even if it does not make sense. Game designers are far from infallible.