When you're in a room with 1 or more people, you'll see a lock toggle appear in the conversations pane (like in the image below) .
Toggle to the locked state as shown below .
When you lock a room, no one can enter your private conversation, unless you allow them inside the room.
Someone outside can 'knock' on the door, which will notify everyone inside the room, who can then chose to let them in, or not.
Anyone inside the locked room can choose to let someone in, by toggling the lock button off.