There are 2 dungeons in the game that, after reaching a certain level/area within the dungeon, require a Skeleton Key for you to open a locked door. Skeleton Keys have to be crafted and they break once you use them, meaning you can only use them once.
The Steps of Torment will be the first one you encounter, with the sealed door being on level 3. Once you enter the sealed doors, they will close behind you and lock. The only way out is to finish the dungeon or by dying; you cannot use rift gates beyond these doors.
If you die, the run is over. You will need another Skeleton Key to get past the doors again.
http://www.grimdawn.com/guide/gameplay/exploration.php#q03
Fair Warning: You will get a quest to kill a boss on Level3 of Steps of Torment (before the locked door). The quest reward is 1 Skeleton Key as well as the Skeleton Key recipe. So if you complete the quest and accidentally click the locked door, bye-bye key.
This is what happened to me. Serves me right for gaming when tired.