Knock Knock....

[Clipper]

If by 'knocking', you mean to draw the first Door card face down into your hand, then draw the next one face-up as Kicking Open the Door, then that is the Listen at the Door rule just mentioned. If you are playing with that rule, then you must perform it, no matter what.

You can find this optional rule at the end of the rule book in the Faster Play Rules section. If you do choose to use that rule, make sure you draw a Treasure when Looting the Room instead of a Door as well.

If you mean something else by 'knocking', then you are likely using some sort of house rule.