Clarification: I'm talking about the INNER airlock door.
Keeping the airlock closed in-between spacewalks sounds safer:
- In case of accidental puncture of the outside of the module, this has no effect on the rest of the station.
- This removes a (little bit) of livable space for the astronauts
- It will need to be actually opened up again once you'll want to depart.
So what do they actually do ?