I have my door locked. 'have' is present tense. It has a similar meaning, in this sentence, to 'keep', which is the verb I would use.. The speaker's door is unlocked only when the speaker is going through it. At other times, it is always locked.
I have locked my door. 'have locked' is present perfect. The locking of the door is something the speaker has carried out fairly recently. As a consequence, the door is now locked.