Why shouldn’t the man open the door?

W: Oh, fire! The hotel’s on fire!
M: What shall we do? Let’s get out of here! Shall we open the door?
W: No, don’t open the door. Feel it. Is it hot?
M: No, it’s not hot.
W: OK, open it.
M: There’s a lot of smoke out here. I can’t see anything.
W: Close the door. We’ll stay in the room. Get the sheets and wet them in the bath. I’ll phone the police for help.
M: Right!